Operator Deep Smoothing for Implied Volatility

By Lukas Gonon, Antoine Jacquier, Ruben Wiedemann

Published 2024-06-17

Everscope rating

1691.6

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Operator Deep Smoothing. Problem types: Regression, Time Series Forecasting, Interpolation.

arXiv:2406.11520 · Code · Paper rankings

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