Gaussian Processes for Implied Volatility Estimation
The study enhances the modeling of the implied volatility surface in option pricing by incorporating temporal dynamics into a Gaussian Process, which performs better than traditional models.
Featured in No. 46 on 24 Apr 2024 · 2 days after release · 0 citations today
- Released
- 22 Apr 2024
- First featured
- No. 46 · 24 Apr 2024
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- SSRN 4803161
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