Algebraic Malliavin calculus on Brownian signatures yields closed-form operators and tractable Greeks for path-dependent options under signature volatility.
\ Tissot-Daguette, V
2 Pith papers cite this work. Polarity classification is still indexing.
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Rough-path market models satisfying no-controlled-free-lunch reduce admissible drivers to Itô lifts of Brownian motion (up to time change) once signature-type strategies are allowed.
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Malliavin calculus for signatures with applications to finance
Algebraic Malliavin calculus on Brownian signatures yields closed-form operators and tractable Greeks for path-dependent options under signature volatility.
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Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
Rough-path market models satisfying no-controlled-free-lunch reduce admissible drivers to Itô lifts of Brownian motion (up to time change) once signature-type strategies are allowed.