/DynamicHedging

Using Reinforcement Learning to perform Dynamic Hedging of Options

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DynamicHedging

Using Reinforcement Learning to perform Dynamic Hedging of Options

Contents:

  1. simulations.py: Contains the simulator for creating a Black-Scholes environment
  2. env.py: Contains the environment for the RL training scheme
  3. agent.py: Contains the DQN agent to be used for training
  4. train.py: The training module to train the agent
  5. predict.py: Run this code to perform predictions after training