A Deterministic Policy Gradient Method for Order Execution and Option Hedging in the Presence of Market Impact.
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| Title: | A Deterministic Policy Gradient Method for Order Execution and Option Hedging in the Presence of Market Impact. |
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| Authors: | Hultin, Hanna1 hhultin@kth.se, Hult, Henrik2 hult@kth.se, Proutiere, Alexandre3 alepro@kth.se, Samama, Samuel4 samuel.samama@seb.se, Tarighati, Ala5 ala.tarighati@seb.se |
| Source: | Journal of Financial Data Science. Summer2024, Vol. 6 Issue 3, p81-114. 34p. |
| Database: | Business Source Ultimate |
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| ISSN: | 26403943 |
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| DOI: | 10.3905/jfds.2024.1.164 |
