1 citations · 1 across the 1 of their papers we have counts for
3 papers
math.PR2019★ 1 cited
Convergence to closed-form distribution for the backward at some random times and the phase transition at
Terry J. Lyons, Vlad Margarint, Sina Nejad
We study a one-dimensional SDE that we obtain by performing a random time change of the backward Loewner dynamics in . The stationary measure for this SDE has a closed-…
q-fin.MF2019
Nonparametric pricing and hedging of exotic derivatives
Terry Lyons, Sina Nejad, Imanol Perez Arribas
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 combin…
q-fin.MF2019
Numerical method for model-free pricing of exotic derivatives using rough path signatures
Terry Lyons, Sina Nejad, Imanol Perez Arribas
We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options. This is…