A generative adversarial network approach to calibration of local stochastic volatility models
Year of publication: |
2020
|
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Authors: | Cuchiero, Christa ; Khosrawi, Wahid ; Teichmann, Josef |
Subject: | LSV calibration | neural SDEs | generative adversarial networks | deep hedging | variance reduction | stochastic optimization | Stochastischer Prozess | Stochastic process | Hedging | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Mathematische Optimierung | Mathematical programming |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8040101 [DOI] hdl:10419/258054 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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