Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
Author:
Affiliation:
1. Department of Statistical Sciences, University of Toronto, Toronto, M5G 1Z5, ON, Canada.
2. Riskfuel Analytics, Toronto, M5C 1X6, ON, Canada.
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Reference24 articles.
1. Lévy Processes and Stochastic Calculus
2. Variational Autoencoders: A Hands-Off Approach to Volatility
3. Non-Gaussian Merton-Black-Scholes Theory
4. OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
5. Prices of State-Contingent Claims Implicit in Option Prices
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1. VolGAN: a generative model for arbitrage-free implied volatility surfaces;SSRN Electronic Journal;2023
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