SABR equipped with AI wings

DOI10.1080/14697688.2022.2150561MaRDI QIDQ6158397zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic expansionMonte Carlo simulationartificial neural networkderivativesSABR stochastic volatility model

Mathematics Subject Classification ID

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

Recommendations

• Approximate arbitrage-free option pricing under the SABR model
• Artificial neural network for option pricing with and without asymptotic correction
• On the approximation of the SABR model: a probabilistic approach
• A neural network approach to option pricing
• On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach

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

Cited in

(1)

• Artificial neural network for option pricing with and without asymptotic correction

This page was built for publication: SABR equipped with AI wings

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6158397)