A two-step framework for arbitrage-free prediction of the implied volatility surface

DOI10.1080/14697688.2022.2135454zbMath1518.91290arXiv2106.07177OpenAlexW3176125230MaRDI QIDQ6158370

Wenyong Zhang, Lingfei Li, Gongqiu Zhang

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.07177

zbMATH Keywords

predictionimplied volatility surfacedeep learningvariational autoencoderstatic arbitrage

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Data-driven hedging of stock index options via deep learning ⋮ Simulation of Arbitrage-Free Implied Volatility Surfaces

Cites Work

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