Pricing and calibration in the 4-factor path-dependent volatility model
By Guido Gazzani, Julien Guyon
Rating
1711
Battle Count: 58
Relevance
9/10
Highly relevant for options pricing and volatility modeling in quantitative trading strategies
Implementation Complexity
7/10
Requires implementation of complex volatility model and neural network training
Reproducibility
4/5
The paper provides detailed methodology and parameter values, but code is not explicitly shared
About this paper
Methodology: Neural network approximation. Problem types: Regression, Time Series Forecasting, Optimization.
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