Deep hedging agents learn a systematic delta haircut explained by spot-implied-volatility co-movement; symbolic regression distills the policies into formulas that retain reward and downside-variance advantages over Black-Scholes but inherit regime fragility.
Option valuation and hedging strategies with jumps in the volatility of asset returns.The Journal of Finance, 48(5):1969–1984,
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What Does Deep Hedging Actually Learn? Delta Corrections, Regime Fragility, and Symbolic Distillation
Deep hedging agents learn a systematic delta haircut explained by spot-implied-volatility co-movement; symbolic regression distills the policies into formulas that retain reward and downside-variance advantages over Black-Scholes but inherit regime fragility.