Approximation rates for deep calibration of (rough) stochastic volatility models
DOI10.1137/23M1606769zbMATH Open1544.9131MaRDI QIDQ6606848FDOQ6606848
Authors: Francesca Biagini, Lukas Gonon, Niklas Walter 
Publication date: 17 September 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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curse of dimensionalitycalibrationfunction approximationvolatility modelingdeep neural networkrough volatilityexpression rate
Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07) Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Cited In (2)
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