Sheryan Kumar

Deep Hedging Under Realistic Market Frictions: A Regime-Conditional Empirical Study of Dynamic Option Hedging on Bitcoin Options

Classical option-hedging methods like Black-Scholes delta assume constant, free rebalancing, which real markets don't allow. Deep hedging trains a neural network to handle these frictions directly, and prior work reports strong results. But those comparisons usually pit deep hedging against a frictionless classical bas...