Distributional Reinforcement Learning on Path-dependent Options
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866912488019197952 |
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| author | Özsoy, Ahmet Umur |
| author_facet | Özsoy, Ahmet Umur |
| contents | We reinterpret and propose a framework for pricing path-dependent financial derivatives by estimating the full distribution of payoffs using Distributional Reinforcement Learning (DistRL). Unlike traditional methods that focus on expected option value, our approach models the entire conditional distribution of payoffs, allowing for risk-aware pricing, tail-risk estimation, and enhanced uncertainty quantification. We demonstrate the efficacy of this method on Asian options, using quantile-based value function approximators. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_12657 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Distributional Reinforcement Learning on Path-dependent Options Özsoy, Ahmet Umur Mathematical Finance Machine Learning We reinterpret and propose a framework for pricing path-dependent financial derivatives by estimating the full distribution of payoffs using Distributional Reinforcement Learning (DistRL). Unlike traditional methods that focus on expected option value, our approach models the entire conditional distribution of payoffs, allowing for risk-aware pricing, tail-risk estimation, and enhanced uncertainty quantification. We demonstrate the efficacy of this method on Asian options, using quantile-based value function approximators. |
| title | Distributional Reinforcement Learning on Path-dependent Options |
| topic | Mathematical Finance Machine Learning |
| url | https://arxiv.org/abs/2507.12657 |