Pricing and calibration in the 4-factor path-dependent volatility model

By Guido Gazzani, Julien Guyon

Published 2024-06-05

Everscope rating

1710.7

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Neural network approximation. Problem types: Regression, Time Series Forecasting, Optimization.

arXiv:2406.02319 · Paper rankings

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