Neural Option Pricing for Rough Bergomi Model

By Changqing Teng, Guanglian Li

Published 2024-02-06

Everscope rating

1571.9

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Neural SDE. Problem types: Option Pricing, Time Series Forecasting, Stochastic Volatility Modeling.

arXiv:2402.02714 · Code · Paper rankings

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