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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…
q-fin.MF2023
Rough PDEs for local stochastic volatility models
Peter Bank, Christian Bayer, Peter K. Friz +1
In this work, we introduce a novel pricing methodology in general, possibly non-Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics…