Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10012424629
Persistent link: https://www.econbiz.de/10012194788
We present a consistent neural network based calibration method for a number of volatility models-including the rough volatility family-that performs the calibration task within a few milliseconds for the full implied volatility surface.The aim of neural networks in this work is an off-line...
Persistent link: https://www.econbiz.de/10012894148