Journal article
Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
- Abstract:
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, 445.5KB, Terms of use)
-
- Publisher copy:
- 10.1080/1350486X.2020.1726784
Authors
- Publisher:
- Taylor and Francis
- Journal:
- Applied Mathematical Finance More from this journal
- Volume:
- 26
- Issue:
- 6
- Pages:
- 583-597
- Publication date:
- 2020-02-18
- Acceptance date:
- 2020-02-04
- DOI:
- EISSN:
-
1466-4313
- ISSN:
-
1350-486X
- Language:
-
English
- Keywords:
- Pubs id:
-
1089921
- Local pid:
-
pubs:1089921
- Deposit date:
-
2020-03-04
Terms of use
- Copyright holder:
- Informa UK Limited
- Copyright date:
- 2020
- Rights statement:
- © 2020 Informa UK Limited, trading as Taylor & Francis Group
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Taylor and Francis at https://doi.org/10.1080/1350486X.2020.1726784
If you are the owner of this record, you can report an update to it here: Report update to this record