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Paper / 2025SMQ / 190776663216113
Signature approach for pricing and hedging path-dependent options with frictions
Donatien Hainaut / Edouard Motte / Eduardo Abi Jaber
derivatives / option pricingResource overview

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

Paper2025

by Donatien Hainaut, Edouard Motte, Eduardo Abi Jaber

Tags
derivativesoption pricingoptions hedging

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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