  We show how D4PG can be used in conjunction with quantile regression to
develop a hedging strategy for a trader responsible for derivatives that arrive
stochastically and depend on a single underlying asset. We assume that the
trader makes the portfolio delta neutral at the end of each day by taking a
position in the underlying asset. We focus on how trades in the options can be
used to manage gamma and vega. The option trades are subject to transaction
costs. We consider three different objective functions. We reach conclusions on
how the optimal hedging strategy depends on the trader's objective function,
the level of transaction costs, and the maturity of the options used for
hedging. We also investigate the robustness of the hedging strategy to the
process assumed for the underlying asset.
