Nonparametric pricing and hedging of exotic derivatives

• Main Authors: Lyons, Terry, Nejad, Sina, Arribas, Imanol Perez
• Format: Journal Article
• Language: English
• Published: 02.05.2019
• Subjects: Quantitative Finance - Mathematical Finance

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 nonparametr...