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jhirschibar / LittleJohn

Project to discover a deterministic value policy useful in managing a portfolio of short option spreads
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Fixed or Dynamic number of "actions" available to the agent? #6

Closed jhirschibar closed 9 months ago

jhirschibar commented 1 year ago

The available options contracts that are possiblities depend on the volatility and price of the underlying. Should the model always assume 16 different call/put contracts or should there be variable numbers?

jhirschibar commented 9 months ago

Initially only holding or closing out. The action_dim is dependent on the number of positions that are held. Will add later when we want to make rolling, doubling down, opening new positions, etc possible actions.