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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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Detalles Bibliográficos
Autor principal:	Hakala, Jürgen
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Frontiers Media S.A. 2019
Materias:	Artificial Intelligence
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

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