# Numerical method for model-free pricing of exotic derivatives using rough path signatures

## TL;DR

This paper introduces a numerical method to price exotic derivatives without relying on a specific model, by estimating the market's implied expected signature from available option prices, capturing market dynamics.

## Contribution

It proposes a novel approach to estimate the implied expected signature from market prices for model-free pricing of exotic options.

## Key findings

- Successfully estimates prices of exotic options in a model-free setting.
- Demonstrates the effectiveness of the implied expected signature in capturing market dynamics.
- Provides a new tool for model-free derivative pricing using market data.

## Abstract

We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options. This is achieved by estimating an unobservable quantity called "implied expected signature" from such market prices, which are used to price other exotic derivatives. The implied expected signature is an object that characterises the market dynamics.