Download This PaperRelative Option Pricing in the QLBS Model (Supplementary Note)
2 Pages Posted: 26 Dec 2017
Date Written: December 19, 2017
Abstract
This is a supplementary note for the paper "QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds" found here:
http://ssrn.com/abstract=3087076,
that explains how a model developed there applies to the problem of relative pricing of options in a data-driven Reinforcement Learning (RL) way that bypasses a model building stage (in particular, it does not need to build a volatility smile model).
Suggested Citation: Suggested Citation
Halperin, Igor, Relative Option Pricing in the QLBS Model (Supplementary Note) (December 19, 2017). Available at SSRN: https://ssrn.com/abstract=3090608 or http://dx.doi.org/10.2139/ssrn.3090608
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