No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging

2 code implementations • 2 Mar 2021 • Shota Imaki, Kentaro Imajo, Katsuya Ito, Kentaro Minami, Kei Nakagawa

Deep hedging (Buehler et al. 2019) is a versatile framework to compute the optimal hedging strategy of derivatives in incomplete markets.