SABR equipped with AI wings

DOI10.1080/14697688.2022.2150561zbMath1518.91278OpenAlexW4312225082MaRDI QIDQ6158397

Hideharu Funahashi

Publication date: 20 June 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2022.2150561

zbMATH Keywords

asymptotic expansionMonte Carlo simulationderivativesartificial neural networkSABR stochastic volatility model

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
• Does the Hurst index matter for option prices under fractional volatility?
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
• Dirichlet Forms and Finite Element Methods for the SABR Model
• Turbocharging Monte Carlo pricing for the rough Bergomi model
• Pricing under rough volatility
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
• Artificial neural network for option pricing with and without asymptotic correction
• A chaos expansion approach under hybrid volatility models

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