Deep self-consistent learning of local volatility
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- Marc Chataigner & Stéphane Crépey & Matthew Dixon, 2020. "Deep Local Volatility," Risks, MDPI, vol. 8(3), pages 1-18, August.
- Marc Chataigner & St'ephane Cr'epey & Matthew Dixon, 2020. "Deep Local Volatility," Papers 2007.10462, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2022-03-07 (Computational Economics)
- NEP-CWA-2022-03-07 (Central and Western Asia)
- NEP-RMG-2022-03-07 (Risk Management)
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