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- W2892831218 abstract "We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in the space of continuous payoffs, a result that is exploited to quickly price arbitrary continuous payoffs. This approach to pricing derivatives is then tested with European options, American options, Asian options, lookback options and variance swaps. As we show, signature payoffs can be used to price these derivatives with very high accuracy." @default.
- W2892831218 created "2018-10-05" @default.
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- W2892831218 date "2018-09-25" @default.
- W2892831218 modified "2023-09-27" @default.
- W2892831218 title "Derivatives pricing using signature payoffs" @default.
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