Probabilistic machine learning for local volatility
Year of publication: |
2021
|
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Authors: | Tegnér, Martin ; Roberts, Stephen |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2021, 3, p. 1-50
|
Subject: | option pricing | local volatility | Gaussian processes | machine learning | Volatilität | Volatility | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
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