Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints (Q5162840)
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scientific article; zbMATH DE number 7421256
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| English | Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints |
scientific article; zbMATH DE number 7421256 |
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Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints (English)
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5 November 2021
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Gaussian processes
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local volatility
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option pricing
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neural networks
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no-arbitrage
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0.7651763558387756
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0.759884238243103
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0.7462823987007141
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0.7459918856620789
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