Signature approach for pricing and hedging path-dependent options with frictions

By Eduardo Abi Jaber, Donatien Hainaut, Edouard Motte

Published 2025-12-01

Everscope rating

1987.9

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Signature-based stochastic control with infinite-dimensional Riccati equations. Problem types: Optimization, Risk Management, Algorithmic Execution, Portfolio Optimization, Stochastic Control.

arXiv:2511.23295 · Paper rankings

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