Deep Local Volatility
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DOI: 10.3390/risks8030082
Note: View the original document on HAL open archive server: https://hal.science/hal-03910122v1
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References listed on IDEAS
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Cited by:
- Christa Cuchiero & Eva Flonner & Kevin Kurt, 2024. "Robust financial calibration: a Bayesian approach for neural SDEs," Papers 2409.06551, arXiv.org, revised Sep 2024.
- Lukas Gonon & Antoine Jacquier & Ruben Wiedemann, 2024. "Operator Deep Smoothing for Implied Volatility," Papers 2406.11520, arXiv.org, revised Oct 2024.
- Marc Chataigner & Areski Cousin & St'ephane Cr'epey & Matthew Dixon & Djibril Gueye, 2022. "Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints," Papers 2212.09957, arXiv.org.
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Keywords
option pricing neural networks no-arbitrage local volatility; option pricing; neural networks; no-arbitrage; local volatility;All these keywords.
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