Deep calibration with random grids
Fabio Baschetti, Giacomo Bormetti and Pietro Rossi
| Year of publication: |
2024
|
|---|---|
| Authors: | Baschetti, Fabio ; Bormetti, Giacomo ; Rossi, Pietro |
| Subject: | Forward variance curve | Neural network pricing and calibration | Rough volatilty | Neuronale Netze | Neural networks | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2332375 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196885