Approximation rates for deep calibration of (rough) stochastic volatility models (Q6606848)
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scientific article; zbMATH DE number 7914761
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| English | Approximation rates for deep calibration of (rough) stochastic volatility models |
scientific article; zbMATH DE number 7914761 |
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Approximation rates for deep calibration of (rough) stochastic volatility models (English)
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17 September 2024
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deep neural network
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volatility modeling
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rough volatility
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calibration
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expression rate
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curse of dimensionality
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function approximation
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0.8521988391876221
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0.8143819570541382
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0.8087673783302307
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0.7896130681037903
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0.7850319743156433
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