Applied Machine Learning for Stochastic Local Volatility Calibration
نویسندگان
چکیده
منابع مشابه
Local volatility calibration using an adjoint proxy
We document the calibration of the local volatility in a framework similar to Coleman, Li and Verma. The quality of a surface is assessed through a functional to be optimized; the specificity of the approach is to separate the optimization (performed with any suitable optimization algorithm) from the computation of the functional where we use an adjoint (as in L. Jiang et. al.) to obtain an app...
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The two most popular equity derivatives pricing models among practitioners are the local volatility model and the Heston model. While the former has the appealing property that it can be calibrated exactly to any given set of arbitrage free European vanilla option prices, the latter delivers a more realistic smile dynamics. In this article we combine both modeling approaches to the Heston stoch...
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For asset prices that follow stochastic-volatility diffusions, we use asymptotic methods to investigate the behavior of the local volatilities and Black–Scholes volatilities implied by option prices, and to relate this behavior to the parameters of the stochastic volatility process. We also give applications, including risk-premium-based explanations of the biases in some näıve pricing and hedg...
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ژورنال
عنوان ژورنال: Frontiers in Artificial Intelligence
سال: 2019
ISSN: 2624-8212
DOI: 10.3389/frai.2019.00004