Non-parametric Pricing and Hedging of Exotic Derivatives

DOI10.1080/1350486X.2021.1891555zbMath1466.91346arXiv1905.00711OpenAlexW3163425973MaRDI QIDQ4994678

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Publication date: 21 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.00711

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Signature-Based Models: Theory and Calibration ⋮ Double-Execution Strategies Using Path Signatures

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• Functional Itō calculus and stochastic integral representation of martingales
• Pathwise integration with respect to paths of finite quadratic variation
• Pathwise superreplication via Vovk's outer measure
• Variance optimal hedging for continuous time additive processes and applications
• Multidimensional Stochastic Processes as Rough Paths
• Exponential Hedging and Entropic Penalties
• Rough paths, Signatures and the modelling of functions on streams
• Deep hedging
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