A Variational Autoencoder Approach to Conditional Generation of Possible Future Volatility Surfaces
The paper presents a new method for predicting future implied volatility surfaces using historical data, employing a conditional variational autoencoder and a long short-term memory network.
Featured in No. 26 on 15 Nov 2023 · 6 days after release · 2 citations today
- Released
- 9 Nov 2023
- First featured
- No. 26 · 15 Nov 2023
- Citations (Semantic Scholar)
- 2
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 17
- Identifier
- SSRN 4628457
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).