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Nonparametric estimation of an implied volatility surface
The Journal of Computational Finance, 1999James Bodurtha, Martin Jermakyan
openaire +1 more source
Implied volatility surface analysis using variational autoencoders
The present work explores the applicability of Variational Autoencoders in the search for a calibrator for implied volatility surfaces. To do this, two data sets provided by a financial entity were analyzed. In the first data set, Amazon, Euro Stoxx 50, S&P 500, Telefónica, and HKD were received. The best result was for the Standard and Poor’s (S&P 500)openaire +1 more source
Online adaptive machine learning based algorithm for implied volatility surface modeling
Knowledge-Based Systems, 2019Diego Klabjan
exaly
A two-step framework for arbitrage-free prediction of the implied volatility surface
Quantitative Finance, 2023exaly
Option prices and implied volatility in the crude oil market
Energy Economics, 2019Vesa Soini, Sindre Lorentzen
exaly
Arbitrage-Free interpolation if Implied Volatility Surface
SSRN Electronic Journal, 2016openaire +1 more source