Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
Terry Lyons, Sina Nejad & Imanol Perez Arribas
| Year of publication: |
2019
|
|---|---|
| Authors: | Lyons, Terry ; Nejad, Sina ; Arribas, Imanol Perez |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 26.2019, 6, p. 583-597
|
| Subject: | Model-free pricing | rough path theory | financial derivatives | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Numerisches Verfahren | Numerical analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2020.1726784 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210427