Deep volatility imputation using convolutional autoencoders

DOI10.3934/FMF.2026004MaRDI QIDQ7308892zbMATH OpenFDO

Authors Susanne Griebsch, Kay F. Pilz

Publication date 4 August 2026

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/FMF.2026004

Mathematics Subject Classification ID

Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

• Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
• Deep learning

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