VolGAN: A Generative Model for Arbitrage-Free Implied Volatility Surfaces [0.03%]
无套利隐含波动率曲面的生成模型_volGAN
Milena Vuletić,Rama Cont
Milena Vuletić
We introduce VolGAN, a generative model for arbitrage-free implied volatility surfaces. The model is trained on time series of implied volatility surfaces and underlying prices and is capable of generating realistic scenarios for joint dyna...
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model [0.03%]
利用3/2模型的封闭型部分变换定价定时期权和价格差异衍生产品
Wendong Zheng,Pingping Zeng
Wendong Zheng
Most of the empirical studies on stochastic volatility dynamics favour the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model (SVM) is reported to ...
Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models [0.03%]
小期限渐近线法在Lévy模型的价内隐含波动率斜率中的应用
Stefan Gerhold,I Cetin Gülüm,Arpad Pinter
Stefan Gerhold
We consider the at-the-money (ATM) strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behaviour of the slope for infinite activity exponential Lévy models including a Brownian component. As...