Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders

DOI10.1137/21m1443546zbMath1530.91575arXiv2108.04941OpenAlexW3193234940MaRDI QIDQ6070669

Xiaorong Zhang, Maxime Bergeron, Brian Ning, Sebastian Jaimungal

Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.04941

zbMATH Keywords

Lévy processesmachine learningimplied volatilitycomputational financevariational autoencoder

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Artificial neural networks and deep learning (68T07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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