A neural network hedger trained on about 256 simulated paths beats Black-Scholes and Leland hedging at high transaction costs in a synthetic GBM market, but not at low costs and not on real S&P 500 data.
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Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
A neural network hedger trained on about 256 simulated paths beats Black-Scholes and Leland hedging at high transaction costs in a synthetic GBM market, but not at low costs and not on real S&P 500 data.