Volatility Transformers: an optimal transport-inspired approach to arbitrage-free shaping of implied volatility surfaces
Arbitrage-Free Volatility Surfaces: The paper presents a framework for creating arbitrage-free transformations of an implied volatility surface using optimal transport maps, which can be applied to a broader range of synthetic market data generation applications.
Featured in No. 25 on 8 Nov 2023 · · 3 citations today
- Released
- 5 Sep 2023
- First featured
- No. 25 · 8 Nov 2023
- Citations (Semantic Scholar)
- 3
- Influential citations
- 1
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4623940
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