Pricing American options under rough volatility using deep-signatures and signature-kernels

Christian Bayer, Luca Pelizzari and Jia-Jie Zhu

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Abstract: We extend the signature-based primal and dual solutions to the optimal stopping problem recently introduced in [Bayer et al.: Primal and dual optimal stopping with signatures, to appear in Finance & Stochastics 2025], by integrating deep-signature and signature-kernel learning methodologies. These approaches are designed for non-Markovian frameworks, in particular enabling the pricing of American options under rough volatility. We demonstrate and compare the performance within the popular rough Heston and rough Bergomi models.

Date: 2025-01
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