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q-fin.MF2025
Pricing American options under rough volatility using deep-signatures and signature-kernels
Christian Bayer, Luca Pelizzari, Jia-Jie Zhu
We extend the signature-based primal and dual solutions to the optimal stopping problem recently introduced in [Bayer et al.: Primal and dual optimal stopping with signatures, to a…
q-fin.MF2023
Primal and dual optimal stopping with signatures
Christian Bayer, Luca Pelizzari, John Schoenmakers
We propose two signature-based methods to solve the optimal stopping problem - that is, to price American options - in non-Markovian frameworks. Both methods rely on a global appro…