Option pricing for Barndorff-Nielsen and Shephard model by supervised deep learning

By Takuji Arai, Yuto Imai

Published 2024-02-02

Everscope rating

1431.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Supervised Deep Learning. Problem types: Regression, Option Pricing.

arXiv:2402.00445 · Paper rankings

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