A neural network approach to understanding implied volatility movements

DOI10.1142/9789811259142_0013MaRDI QIDQ6599191zbMATH OpenFDO

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

Publication date 6 September 2024

Full work available at URL https://doi.org/10.1142/9789811259142_0013

zbMATH Keywords

deep learningimplied volatility movementsneural networksoptions

Mathematics Subject Classification ID

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

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Cited in

(1)

• Physics-informed convolutional transformer for predicting volatility surface

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