A two-step framework for arbitrage-free prediction of the implied volatility surface (Q6158370)
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scientific article; zbMATH DE number 7698359
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| 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)
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20 June 2023
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implied volatility surface
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static arbitrage
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prediction
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deep learning
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variational autoencoder
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0.7281888723373413
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0.7031212449073792
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0.7016819715499878
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0.6865748167037964
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0.6830885410308838
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