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deephedging_experiments

Deep Hedging Experiments

Multi-Agent Environment

  • bsagent: Greek Hedging Agent (Single agent environment)

    1. bsm: without market impact
    2. bsm_mi: with market impact
  • mean_var: RL Hedging Agent trained with mean-var objective function (market impact)

    1. sa: single agent environment (trained agent RL1)
    2. ma1: greek hedging vs. RL1
    3. ma2: greek hedging vs. RL hedging (trained agent RL2)
    4. ma3: RL1 vs. RL2
    5. ma4: greek hedging vs. RL1 vs. RL2
  • var: RL Hedging Agent trained with variance objective function (market impact)

      tests same as mean_var