A generative adversarial network approach to calibration of local stochastic volatility models
Year of publication: |
2020
|
---|---|
Authors: | Cuchiero, Christa ; Khosrawi, Wahid ; Teichmann, Josef |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 4/101, p. 1-31
|
Subject: | LSV calibration | neural SDEs | generative adversarial networks | deep hedging | variance reduction | stochastic optimization | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Hedging | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Experiment |
Type of publication: | Article |
---|---|
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 |
-
A generative adversarial network approach to calibration of local stochastic volatility models
Cuchiero, Christa, (2020)
-
Historical calibration of SVJD models with deep learning
Fičura, Milan, (2023)
-
Wavelet-based option pricing : an empirical study
Liu, Xiaoquan, (2019)
- More ...
-
A generative adversarial network approach to calibration of local stochastic volatility models
Cuchiero, Christa, (2020)
-
Cuchiero, Christa, (2015)
-
Polynomial processes and their applications to mathematical finance
Cuchiero, Christa, (2012)
- More ...