Fabio Dias

University College London - Department of Statistical Science

1-19 Torrington Place

London, WC1 7HB

United Kingdom

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Option Pricing with Polynomial Chaos Expansion Stochastic Bridge Interpolators and Signed Path Dependence

Number of pages: 45 Posted: 28 May 2020
Fabio Dias and Gareth Peters
University College London - Department of Statistical Science and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
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Abstract:

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option pricing, time series momentum, mixture models, polynomial chaos expansion, signed path dependence