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RePEcDerivatives & Volatility

Capped Volatility Swaps Pricing

The article discusses the use of machine learning in determining the prices of capped volatility swaps, using unique data for validation.

Featured in No. 78 on 12 Dec 2024 · on release day

Released
12 Dec 2024
First featured
No. 78 · 12 Dec 2024
Published in
Not yet, as far as Semantic Scholar knows
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Identifier
RePEc:taf:quantf:v:24:y:2024:i:9:p:1287-1300

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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