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• W2943674999 abstract "In the spirit of Arrow-Debreu, we introduce a family of financial derivatives that act as primitive securities in that exotic derivatives can be approximated by their linear combinations. We call these financial derivatives signature payoffs. We show that signature payoffs can be used to nonparametrically price and hedge exotic derivatives in the scenario where one has access to price data for other exotic payoffs. The methodology leads to a computationally tractable and accurate algorithm for pricing and hedging using market prices of a basket of exotic derivatives that has been tested on real and simulated market prices, obtaining good results." @default.
• W2943674999 created "2019-05-09" @default.
• W2943674999 creator A5033716148 @default.
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• W2943674999 date "2019-05-02" @default.
• W2943674999 modified "2023-09-27" @default.
• W2943674999 title "Nonparametric pricing and hedging of exotic derivatives" @default.
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• W2943674999 hasPublicationYear "2019" @default.
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