Model-Agnostic Pricing of Exotic Derivatives Using Signatures.
Andrew AldenCarmine VentreBlanka HorvathGordon LeePublished in: ICAIF (2022)
Keyphrases
- probabilistic model
- high level
- mathematical model
- computational model
- simulation model
- objective function
- statistical model
- data sets
- formal model
- sensitivity analysis
- process model
- theoretical analysis
- multiscale
- theoretical framework
- em algorithm
- higher order
- prior knowledge
- neural network
- real time
- revenue management