On the pricing of capped volatility swaps using machine learning techniques
Stephan Höcht, Wim Schoutens and Eva Verschueren
| Year of publication: |
2024
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|---|---|
| Authors: | Höcht, Stephan ; Schoutens, Wim ; Verschueren, Eva |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 9, p. 1287-1300
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| Subject: | Capped volatility swaps | Gaussian process regression | Implied volatility | Market-implied moments | Pricing | Tree-based machine learning | Volatilität | Volatility | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Swap | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2305643 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196887