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

Author: 

Lyons, T
Perez Arribas, I
Nejad, S

Publication Date: 

18 February 2020

Journal: 

Applied Mathematical Finance

Last Updated: 

2020-07-26T08:08:54.34+01:00

DOI: 

10.1080/1350486X.2020.1726784

abstract: 

© 2020, © 2020 Informa UK Limited, trading as Taylor & Francis Group. 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.

Symplectic id: 

1089921

Submitted to ORA: 

Submitted

Publication Type: 

Journal Article