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 |
| Subject: | Model-free pricing | rough path theory | financial derivatives | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
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