A neural network approach to understanding implied volatility movements

DOI10.1142/9789811259142_0013zbMATH Open1544.91313MaRDI QIDQ6599191FDOQ6599191

Authors: J. Cao, J. Chen, J. Tristan Hull 

Publication date: 6 September 2024

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zbMATH Keywords

deep learningoptionsneural networksimplied volatility movements

Mathematics Subject Classification ID

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

Cited In (1)

• Physics-informed convolutional transformer for predicting volatility surface

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