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Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures (2020)

First Author: Lyons T

Attributed to: Unparameterised multi-modal data, high order signatures, and the mathematics of data science funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/1350486x.2020.1726784

Publication URI: http://dx.doi.org/10.1080/1350486x.2020.1726784

Type: Journal Article/Review

Parent Publication: Applied Mathematical Finance

Issue: 6