Derivatives pricing using signature payoffs
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Cited by:
- Ming Min & Tomoyuki Ichiba, 2023. "Convolutional signature for sequential data," Digital Finance, Springer, vol. 5(1), pages 3-28, March.
- Qi Feng & Man Luo & Zhaoyu Zhang, 2021. "Deep Signature FBSDE Algorithm," Papers 2108.10504, arXiv.org, revised Aug 2022.
- Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Numerical method for model-free pricing of exotic derivatives using rough path signatures," Papers 1905.01720, arXiv.org, revised Feb 2020.
- Erhan Bayraktar & Qi Feng & Zhaoyu Zhang, 2022. "Deep Signature Algorithm for Multi-dimensional Path-Dependent Options," Papers 2211.11691, arXiv.org, revised Jan 2024.
- Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Nonparametric pricing and hedging of exotic derivatives," Papers 1905.00711, arXiv.org.
- Bruno Dupire & Valentin Tissot-Daguette, 2022. "Functional Expansions," Papers 2212.13628, arXiv.org, revised Mar 2023.
- Owen Futter & Blanka Horvath & Magnus Wiese, 2023. "Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals," Papers 2308.15135, arXiv.org, revised Aug 2023.
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This paper has been announced in the following NEP Reports:- NEP-SEA-2018-10-15 (South East Asia)
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