# Option Dynamic Hedging Using Reinforcement Learning

arXiv: https://arxiv.org/abs/2306.10743 · HTML: https://mlsanity.com/paper/2306.10743/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 19 Jun 2023.

## Built on by (most cited first, 1 of 1)

- [Hedging American Put Options with Deep Reinforcement Learning](https://mlsanity.com/paper/2405.06774/) (2024)

## Abstract (arXiv)

This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In contrast to previous research in this area, we apply uncertainty estimation technology to measure the uncertainty of the agent's decision, which can further reduce unnecessary wear and tear in the hedging process and control model overconfidence that may lead to significant losses. Numerical experiments show the superiority of our strategy in Monte Carlo simulations and SP 500 option data.