Fast generation of implied volatility surface : optimize the traditional numerical analysis and machine learning
Jerome Yen, Bangren Chen, KangZhang Wu and Joseph Yen
| Year of publication: |
2021
|
|---|---|
| Authors: | Yen, Jerome ; Chen, Bangren ; Wu, KangZahng ; Yen, Joseph |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 8.2021, 2, p. 1-24
|
| Subject: | Implied volatility | machine learning | Newton–Raphson | polynomial regression | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Künstliche Intelligenz | Artificial intelligence | Black-Scholes-Modell | Black-Scholes model | Lernprozess | Learning process | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786321500377 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012662246