Joint SPX & VIX calibration with Gaussian polynomial volatility models : deep pricing with quantization hints
Eduardo Abi Jaber, Camille Illand, Shaun (Xiaoyuan) Li
| Year of publication: |
2025
|
|---|---|
| Authors: | Abi Jaber, Eduardo ; Illand, Camille ; Li, Shaun |
| Subject: | Gaussian Volterra processes | neural networks | quantization | SPX & VIX modeling | stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Neuronale Netze | Neural networks | 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: | 10.1111/mafi.12451 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015359126