英文标题：
《Nonparametric pricing and hedging of exotic derivatives》
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作者：
Terry Lyons and Sina Nejad and Imanol Perez Arribas
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最新提交年份：
2019
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英文摘要：
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 nonparametrically price and hedge exotic derivatives in the scenario where one has access to price data for other exotic payoffs. The methodology leads to a computationally tractable and accurate algorithm for pricing and hedging using market prices of a basket of exotic derivatives that has been tested on real and simulated market prices, obtaining good results.
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中文摘要：
本着Arrow Debreu的精神，我们引入了一系列作为原始证券的金融衍生品，因为奇异衍生品可以通过其线性组合来近似。我们称这些金融衍生品为签名支付。我们表明，签名收益可以用于非参数定价和对冲异国衍生品，在这种情况下，可以访问其他异国收益的价格数据。该方法为定价和套期保值提供了一种计算简便、准确的算法，该算法使用一篮子奇异衍生产品的市场价格进行定价和套期保值，这些衍生产品已在真实和模拟市场价格上进行了测试，获得了良好的结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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