-evaluation. Subsequently, we present an adaptation of the Constrained Active Signature Method (CASM) that explicitly exploits this abs …-quadratic structure of the problem yielding the Quadratic Constrained Active Signature Method (QCASM). In the process, we also guarantee …

We propose two signature-based methods to solve an optimal stopping problem – that is, to price American options – in …-Markovian generalisation of the famous Longstaff–Schwartz algorithm, using linear functionals of the signature as regression basis. For the … dual formulation, we parametrise the space of square-integrable martingales using linear functionals of the signature and …