Short Communication: Projection of Functionals and Fast Pricing of Exotic Options

DOI10.1137/21M1451439zbMath1497.91341arXiv2111.03713OpenAlexW4283646330WikidataQ120906802 ScholiaQ120906802MaRDI QIDQ5092723

Valentin Tissot-Daguette

Publication date: 22 July 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.03713

zbMATH Keywords

signaturederivatives pricingKarhunen-Loève expansionpath functional

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by arbitrary linear expressions (41A45)

Related Items (1)

Signature-Based Models: Theory and Calibration

Cites Work

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