Calibrating rough volatility models : a convolutional neural network approach
Henry Stone
| Year of publication: |
2020
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|---|---|
| Authors: | Stone, Henry |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 3, p. 379-392
|
| Subject: | Calibration | Convolutional neural networks | Estimation | Rough volatility | Neuronale Netze | Neural networks | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1654126 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194872