"Optimal Execution with Rough Path Signatures."

Jasdeep Kalsi, Terry J. Lyons, Imanol Pérez Arribas (2020)

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DOI: 10.1137/19M1259778

access: closed

type: Journal Article

metadata version: 2023-05-08

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Jasdeep Kalsi, Terry J. Lyons, Imanol Pérez Arribas:
Optimal Execution with Rough Path Signatures. SIAM J. Financial Math. 11(2): 470-493 (2020)

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