Quanto Option Pricing on a Multivariate Lévy Process Model with a Generative Artificial Intelligence

By Young Shin Kim, Hyun-Gyoon Kim

Published 2024-03-25

Everscope rating

1614.5

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Generalized Normal Tempered Stable (gNTS) Process with Conditional RealNVP. Problem types: Option Pricing, Density Estimation, Generative Modeling.

arXiv:2402.17919 · Paper rankings

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