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...
| Autores principales: | , , |
|---|---|
| Formato: | Journal article |
| Lenguaje: | English |
| Publicado: |
Taylor and Francis
2020
|
| _version_ | 1826270132771487744 |
|---|---|
| author | Lyons, T Nejad, S Perez Arribas, I |
| author_facet | Lyons, T Nejad, S Perez Arribas, I |
| author_sort | Lyons, T |
| collection | OXFORD |
| description | 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 used to price other exotic derivatives. The implied expected signature is an object that characterizes the market dynamics. |
| first_indexed | 2024-03-06T21:36:04Z |
| format | Journal article |
| id | oxford-uuid:464f58ce-8634-45cb-a68e-795eca66f1de |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T21:36:04Z |
| publishDate | 2020 |
| publisher | Taylor and Francis |
| record_format | dspace |
| spelling | oxford-uuid:464f58ce-8634-45cb-a68e-795eca66f1de2022-03-26T15:12:58ZNumerical method for model-free pricing of exotic derivatives in discrete time using rough path signaturesJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:464f58ce-8634-45cb-a68e-795eca66f1deEnglishSymplectic ElementsTaylor and Francis2020Lyons, TNejad, SPerez Arribas, IWe 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 used to price other exotic derivatives. The implied expected signature is an object that characterizes the market dynamics. |
| spellingShingle | Lyons, T Nejad, S Perez Arribas, I Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures |
| title | Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures |
| title_full | Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures |
| title_fullStr | Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures |
| title_full_unstemmed | Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures |
| title_short | Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures |
| title_sort | numerical method for model free pricing of exotic derivatives in discrete time using rough path signatures |
| work_keys_str_mv | AT lyonst numericalmethodformodelfreepricingofexoticderivativesindiscretetimeusingroughpathsignatures AT nejads numericalmethodformodelfreepricingofexoticderivativesindiscretetimeusingroughpathsignatures AT perezarribasi numericalmethodformodelfreepricingofexoticderivativesindiscretetimeusingroughpathsignatures |