Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Deep Reinforcement Learning for Equal Risk Pricing and Hedging under
  Dynamic Expectile Risk Measures   Recently equal risk pricing, a framework for fair derivative pricing, was
extended to consider dynamic risk measures. However, all current
implementations either employ a static risk measure that violates time
consistency, or are based on traditional dynamic programming solution schemes
that are impracticable in problems with a large number of underlying assets
(due to the curse of dimensionality) or with incomplete asset dynamics
information. In this paper, we extend for the first time a famous off-policy
deterministic actor-critic deep reinforcement learning (ACRL) algorithm to the
problem of solving a risk averse Markov decision process that models risk using
a time consistent recursive expectile risk measure. This new ACRL algorithm
allows us to identify high quality time consistent hedging policies (and equal
risk prices) for options, such as basket options, that cannot be handled using
traditional methods, or in context where only historical trajectories of the
underlying assets are available. Our numerical experiments, which involve both
a simple vanilla option and a more exotic basket option, confirm that the new
ACRL algorithm can produce 1) in simple environments, nearly optimal hedging
policies, and highly accurate prices, simultaneously for a range of maturities
2) in complex environments, good quality policies and prices using reasonable
amount of computing resources; and 3) overall, hedging strategies that actually
outperform the strategies produced using static risk measures when the risk is
evaluated at later points of time.

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The categories of this paper are: math-ph
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The categories of this paper are: eess
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The categories of this paper are: quant-ph
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The categories of this paper are: astro-ph
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The categories of this paper are: stat
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The categories of this paper are: hep-lat
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The categories of this paper are: cond-mat
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The categories of this paper are: chao-dyn
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The categories of this paper are: econ
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The categories of this paper are: supr-con
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The categories of this paper are: chem-ph
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The categories of this paper are: acc-phys
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The categories of this paper are: funct-an
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The categories of this paper are: nucl-ex
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The categories of this paper are: atom-ph
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The categories of this paper are: nucl-th