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Dynamic hedging of 50ETF options using Proximal Policy Optimization

Lei Liu Mengmeng Hao Jinde Cao

Journal of Automation and Intelligence2025，Vol.4Issue(3)：P.198-206,9.

Journal of Automation and Intelligence2025，Vol.4Issue(3)：P.198-206,9.DOI:10.1016/j.jai.2025.04.001

Dynamic hedging of 50ETF options using Proximal Policy Optimization

Lei Liu ¹Mengmeng Hao ¹Jinde Cao²

作者信息

1. School of Mathematics,Hohai University,Nanjing,211100,China
2. School of Mathematics,Southeast University,Nanjing,210096,China
折叠

摘要

关键词

B-S model/Option hedging/Reinforcement learning/50ETF/Proximal Policy Optimization(PPO)

分类

管理科学

引用本文复制引用

Lei Liu,Mengmeng Hao,Jinde Cao..Dynamic hedging of 50ETF options using Proximal Policy Optimization[J].Journal of Automation and Intelligence,2025,4(3):P.198-206,9.

基金项目

supported by the Foundation of Key Laboratory of System Control and Information Processing,Ministry of Education,China,Scip20240111 （）

Aeronautical Science Foundation of China,Grant 2024Z071108001 （）

the Foundation of Key Laboratory of Traffic Information and Safety of Anhui Higher Education Institutes,Anhui Sanlian University,KLAHEI18018. （）

Journal of Automation and Intelligence

ISSN：2097-504X

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