A two-step framework for arbitrage-free prediction of the implied volatility surface (Q6158370)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A two-step framework for arbitrage-free prediction of the implied volatility surface |
scientific article; zbMATH DE number 7698359
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A two-step framework for arbitrage-free prediction of the implied volatility surface |
scientific article; zbMATH DE number 7698359 |
Statements
A two-step framework for arbitrage-free prediction of the implied volatility surface (English)
0 references
20 June 2023
0 references
implied volatility surface
0 references
static arbitrage
0 references
prediction
0 references
deep learning
0 references
variational autoencoder
0 references
0 references
0 references
0.7281888723373413
0 references
0.7031212449073792
0 references
0.7016819715499878
0 references
0.6865748167037964
0 references
0.6830885410308838
0 references
