Model-agnostic pricing of exotic derivatives using signatures

Model-agnostic pricing of exotic derivatives using signatures

<p>Neural networks hold out the promise of fast and reliable derivative pricing. Such an approach usually involves the supervised learning task of mapping contract and model parameters to derivative prices.</p> <p>In this work, we introduce a model-agnostic path-wise approach to de...

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Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Alden, A, Ventre, C, Horvath, B, Lee, G
Formáid:	Conference item
Teanga:	English
Foilsithe / Cruthaithe:	Association of Computing Machinery 2022

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