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In this work, we study the deep signature algorithms for path-dependent options.
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Nicole El Karoui, Christophe Kapoudjian, Etienne Pardoux, Shige Peng, and Marie-Claire Quenez · 1997
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Asbjorn T Hansen and Peter Lochte Jorgensen · 2000
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Francis A Longstaff and Eduardo S Schwartz · 2001
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