Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options. This is achieved by estimating an unobservable quantity called ‘implied expected signature’ from such market prices, which are...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Taylor and Francis
2020
|