Relative Option Pricing in the QLBS Model (Supplementary Note)

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).