q-fin updates on arXiv.org
Wed, 26 Feb 2020 12:02:25 GMT language
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 achieved by estimating an unobservable quantity
called "implied expected signature" from such market prices, which are used to
price other exotic derivatives. The implied expected signature is an object
that characterises the market dynamics.