WebThe signature is then computed by calling stream2sig(path_data, truncation_degree), after formatting path_data as a numpy.array. The degree d is roughly defined as the maximal order to which iterated integration is performed. The signature can then be represented as a linear combination of words of length at most d. WebNumerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures. Abstract: We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a …
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WebCite this chapter (2007). The Signature of a Path. In: Differential Equations Driven by Rough Paths. Lecture Notes in Mathematics, vol 1908. WebOct 22, 2024 · Star 212. Code. Issues. Pull requests. Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2024) machine … WebA key Lemma in our approach is to identify signatures with injective paths on signatures (see Section 4.3). This Lemma translates the natural R-tree structure of the latter to a R-tree structure for the former (see Section 4.4). To identify signatures with injective paths on signatures, we use that for sufficiently smooth 1-form spy cakes alien