This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two well-known GARCH-type option pricing models: Duan’s GARCH and the classical tempered stable GARCH that...

We present a new model of normal tempered stable (NTS) processes with stochastic correlation for multi-asset option pricing. The model is constructed by extending the constant correlation term in the NTS model to the stochastic correlation making use of the Ornstein-Uhlenbeck process. As the...