Deep local volatility
Year of publication: |
2020
|
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Authors: | Chataigner, Marc ; Crépey, Stéphane ; Dixon, Matthew F. |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 3/82, p. 1-18
|
Subject: | option pricing | neural networks | no-arbitrage | local volatility | Volatilität | Volatility | Neuronale Netze | Neural networks | Experiment | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
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/risks8030082 [DOI] hdl:10419/258035 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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