Deep Hedging with Options Using the Implied Volatility Surface
“Tested on a historical out-of-sample set of straddles from 2020 to 2023, our method consistently outperforms traditional delta-gamma hedging strategies across a range of market conditions.”
AssetVolatility and optionsoptions, indices
StrategyHedgingvolatility risk premium
GeographyUS
Sample window2020–2023
Also stated: Excess return, Options-implied, benchmark, out-of-sample test, costs
Missing from abstract: multiple testing, universe
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