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Multistep forecast of the implied volatility surface using deep learning

  • Published:2021-12-27 Issue: Volume: Page:
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:Journal of Futures Markets

Author:

Medvedev Nikita1,Wang Zhiguang1ORCID

Affiliation:

1. Ness School of Management and Economics South Dakota State University Brookings South Dakota USA

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference30 articles.

1. The Pricing of Options and Corporate Liabilities

2. Generalized autoregressive conditional heteroskedasticity

3. A Simple Approximate Long-Memory Model of Realized Volatility

4. Machine learning in finance: The case of deep learning for option pricing;Culkin R.;Journal of Investment Management,2017

5. Comparing Predictive Accuracy

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