Physics-informed convolutional transformer for predicting volatility surface
Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae, Muhyun Lee and Youngjoon Hong
| Year of publication: |
2024
|
|---|---|
| Authors: | Kim, Soohan ; Yun, Seok-Bae ; Bae, Hyeong-Ohk ; Lee, Muhyun ; Hong, Youngjoon |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 2, p. 203-220
|
| Subject: | Attention mechanism | Black-Scholes model | Convolutional LSTM | Convolutional transformer | Physics-informed neural networks | Volatility | Volatilität | Neuronale Netze | Neural networks | Prognoseverfahren | Forecasting model | Black-Scholes-Modell | 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: | 10.1080/14697688.2023.2294799 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014551964