subsequent local volatility surface is never considered. In this article, we develop a deep learning approach for interpolation … performance. A novel component is the use of the Dupire formula to enforce bounds on the local volatility associated with option …

subsequent local volatility surface is never considered. In this article, we develop a deep learning approach for interpolation … performance. A novel component is the use of the Dupire formula to enforce bounds on the local volatility associated with option …

volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … generating the relevant local volatility surfaces and further uses Monte Carlo and Finite Difference methods when pricing exotic …

volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … exotic options listed on the JSE's derivative exchanges are valued by local volatility models. These models needs a local … generating the relevant local volatility surfaces and further uses Monte Carlo and Finite Difference methods when pricing exotic …