Model-Agnostic Pricing of Exotic Derivatives Using Signatures

Author:

Alden Andrew1,Ventre Carmine1,Horvath Blanka2,Lee Gordon3

Affiliation:

1. King's College London, United Kingdom

2. University of Oxford, United Kingdom

3. Independent Consultant, United Kingdom

Funder

Engineering and Physical Sciences Research Council

Publisher

ACM

Reference37 articles.

1. Afshine Amidi and Shervine Amidi. [n.d.]. A detailed example of how to generate your data in parallel with PyTorch. https://stanford.edu/ shervine/blog/pytorch-how-to-generate-data-parallel Afshine Amidi and Shervine Amidi. [n.d.]. A detailed example of how to generate your data in parallel with PyTorch. https://stanford.edu/ shervine/blog/pytorch-how-to-generate-data-parallel

2. Imanol Perez Arribas. 2018. Derivative Pricing Using Signature Payoffs. (2018). arXiv:1809.09466 Imanol Perez Arribas. 2018. Derivative Pricing Using Signature Payoffs. (2018). arXiv:1809.09466

3. Jimmy Lei Ba , Jamie Ryan Kiros , and Geoffrey  E. Hinton . 2016. Layer Normalization . ( 2016 ). arXiv:1607.06450 Jimmy Lei Ba, Jamie Ryan Kiros, and Geoffrey E. Hinton. 2016. Layer Normalization. (2016). arXiv:1607.06450

4. Daniel Bartl Mathias Beiglböck and Pammer Gudmund. 2021. The Wasserstein Space of Stochastic Processes. (2021). arXiv:2104.14245 Daniel Bartl Mathias Beiglböck and Pammer Gudmund. 2021. The Wasserstein Space of Stochastic Processes. (2021). arXiv:2104.14245

5. The Pricing of Options and Corporate Liabilities

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1. Path Shadowing Monte-Carlo;SSRN Electronic Journal;2023

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