On the pricing of capped volatility swaps using machine learning techniques
Stephan Höcht, Wim Schoutens and Eva Verschueren
| Year of publication: |
2024
|
|---|---|
| Authors: | Höcht, Stephan ; Schoutens, Wim ; Verschueren, Eva |
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2305643 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196887