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Black-Scholes delta hedge

Emerging
1papers using it
2025first seen

The 'Black-Scholes delta hedge' is a benchmark used to evaluate the performance of various deep reinforcement learning algorithms in dynamic hedging by simulating the hedging strategy based on the Black-Scholes option pricing model.

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Papers using Black-Scholes delta hedge (1)

Black-Scholes delta hedge — datasets — reinforcement-learning