Showing q-fin.MFShow all
2 papers · 1 filter
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…