SABR equipped with AI wings
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Publication:6158397
DOI10.1080/14697688.2022.2150561zbMATH Open1518.91278OpenAlexW4312225082MaRDI QIDQ6158397FDOQ6158397
Authors: 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
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asymptotic expansionMonte Carlo simulationartificial neural networkderivativesSABR stochastic volatility model
Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07)
Cites Work
- The pricing of options and corporate liabilities
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
- Pricing under rough volatility
- A chaos expansion approach under hybrid volatility models
- Does the Hurst index matter for option prices under fractional volatility?
- Artificial neural network for option pricing with and without asymptotic correction
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- A low-bias simulation scheme for the SABR stochastic volatility model
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
- Dirichlet forms and finite element methods for the SABR model
Cited In (1)
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