Financial models are largely used in option pricing. These physical models capture several salient features of asset price dynamics. The pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches, that empirically learn and correct pricing...

We introduce a novel approach to capture implied volatility smiles. Given any parametric option pricing model used to fit a smile, we train a deep feedforward neural network on the model's orthogonal residuals to correct for potential mispricings and boost performance. Using a large number of...