Signature volatility models: pricing and hedging with Fourier

By Eduardo Abi Jaber, Louis-Amand Gérard

Published 2024-02-06

Everscope rating

1432.6

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Signature-based stochastic volatility modeling. Problem types: Option Pricing, Hedging, Calibration.

arXiv:2402.01820 · Paper rankings

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