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Applied Machine Learning for Stochastic Local Volatility Calibration
Stochastic volatility models are a popular choice to price and risk–manage financial derivatives on equity and foreign exchange. For the calibration of stochastic local volatility models a crucial step is the estimation of the expectated variance conditional on the realized spot. The spot is given b...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Frontiers Media S.A.
2019
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7861308/ https://www.ncbi.nlm.nih.gov/pubmed/33733093 http://dx.doi.org/10.3389/frai.2019.00004 |