LightGBM-based hedging strategy under Merton's jump diffusion with custom loss and delta approximation
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Updated
May 28, 2025 - Python
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deep-hedging
Here are 3 public repositories matching this topic...
A package to learn optimal hedges by a deep feed forward neural network, to minimise the terminal error
machine-learning options deep-learning tensorflow keras deep-learning-algorithms global-optimization black-scholes hedging options-trading geometric-brownian-motion hedging-strategy deep-hedging black-scholes-model
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Aug 12, 2025 - Python
Deep‑Hedging in PyTorch (MCPG): europäische & amerikanische Optionen mit RSQP‑Risiko, GJR‑GARCH‑Pfade, IV‑Features und Chebyshev‑Pricing inkl. Baselines.
options reinforcement-learning pytorch pricing policy-gradient hedging implied-volatility deep-hedging mcpgptx rsqp
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Sep 30, 2025 - Python
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