A two-step framework for arbitrage-free prediction of the implied volatility surface
Wenyong Zhang, Lingfei Li and Gongqiu Zhang
| Year of publication: |
2023
|
|---|---|
| Authors: | Zhang, Wenyong ; Li, Lingfei ; Zhang, Gongqiu |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 1, p. 21-34
|
| Subject: | Deep learning | Implied volatility surface | Prediction | Static arbitrage | Variational autoencoder | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Arbitrage |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2135454 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490950