Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (Q5014167)
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scientific article; zbMATH DE number 7436774
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| English | Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models |
scientific article; zbMATH DE number 7436774 |
Statements
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (English)
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1 December 2021
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rough volatility
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volatility modelling
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Volterra process
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machine learning
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accurate price approximation
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calibration
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model assessment
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Monte Carlo
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0.8255513310432434
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0.7957748174667358
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0.7946287989616394
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