Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures

DOI10.1080/1350486X.2020.1726784zbMath1437.91431arXiv1905.01720OpenAlexW3008205076MaRDI QIDQ5108927

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Publication date: 6 May 2020

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

Full work available at URL: https://arxiv.org/abs/1905.01720

zbMATH Keywords

rough path theoryfinancial derivativesmodel-free pricing

Mathematics Subject Classification ID

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

Related Items (4)

Short Communication: Projection of Functionals and Fast Pricing of Exotic Options ⋮ Feature engineering with regularity structures ⋮ The Signature Kernel Is the Solution of a Goursat PDE ⋮ Double-Execution Strategies Using Path Signatures

Cites Work

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• Functional Itô calculus

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