Beyond the Mean: Teaching RL to Price the Entire Option Distribution
TL;DR for operators Pricing desks usually ask an exotic-option model for one number: the expected discounted payoff. The paper behind this article asks for the whole conditional payoff distribution instead.1 That sounds like a small statistical upgrade. It is not. It changes what the model is trying to learn, what risk information becomes available after training, and where the engineering fragility enters. ...