Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders

DOI10.1137/21M1443546zbMath1530.91575arXiv2108.04941OpenAlexW3193234940MaRDI QIDQ6070669

Xiaorong Zhang, Maxime Bergeron, Brian Ning, Sebastian Jaimungal

Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.04941

zbMATH Keywords

Lévy processesmachine learningimplied volatilitycomputational financevariational autoencoder

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Artificial neural networks and deep learning (68T07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Unnamed Item
• Tangent Lévy market models
• Fourier space time-stepping for option pricing with Lévy models
• Lévy Processes and Stochastic Calculus
• Calculation of the Wasserstein Distance Between Probability Distributions on the Line
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Nonparametric Kernel Density Estimation and Its Computational Aspects
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
• Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Optimal Transport
• Hedging Option Books Using Neural-SDE Market Models

This page was built for publication: Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders