TY  - JOUR
AU  - Liu, Lei
AU  - Hao, Mengmeng
AU  - Cao, Jinde
PY  - 2025
TI  - Dynamic hedging of 50ETF options using Proximal Policy Optimization
JO  - Journal of Automation and Intelligence
SN  - 2097-504X
SP  - 198
EP  - 206
VL  - 4
IS  - 3
AB  - This paper employs the PPO (Proximal Policy Optimization) algorithm to study the risk hedging problem of the Shanghai Stock Exchange (SSE) 50ETF options. First, the action and state spaces were designed based on the characteristics of the hedging task, and a reward function was developed according to the cost function of the options. Second, combining the concept of curriculum learning, the agent was guided to adopt a simulated-to-real learning approach for dynamic hedging tasks, reducing the learning difficulty and addressing the issue of insufficient option data. A dynamic hedging strategy for 50ETF options was constructed. Finally, numerical experiments demonstrate the superiority of the designed algorithm over traditional hedging strategies in terms of hedging effectiveness.
UR  - https://doi.org/10.1016/j.jai.2025.04.001
DO  - 10.1016/j.jai.2025.04.001