NNHedge

NNHedge is a PyTorch based framework for Neural Derivative Hedging.
The following repository was implemented to ease the experiments of our paper :

• Neural Networks for Derivative Hedging.

Installation Guide

NNHedge is available on PyPi.

pip install NNHedge

To build and develop from source, clone this repository via

git clone https://github.com/guijinSON/NNHedge.git

Citation

You can cite our work by:

@misc{son2021neural,
      title={Neural Networks for Delta Hedging}, 
      author={Guijin Son and Joocheol Kim},
      year={2021},
      eprint={2112.10084},
      archivePrefix={arXiv},
      primaryClass={q-fin.CP}
}