SABR equipped with AI wings
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Publication:6158397
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Cites work
- A chaos expansion approach under hybrid volatility models
- A low-bias simulation scheme for the SABR stochastic volatility model
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Artificial neural network for option pricing with and without asymptotic correction
- 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
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
- Does the Hurst index matter for option prices under fractional volatility?
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Pricing under rough volatility
- The pricing of options and corporate liabilities
- Turbocharging Monte Carlo pricing for the rough Bergomi model
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