Pricing and Calibration in Volatility Model
The article presents the pathdependent volatility model that uses historical returns to calculate volatility, and introduces a neural network approximation of the VIX to address computational issues in pricing and calibrating SP 500 and VIX options.
Featured in No. 52 on 5 Jun 2024 · 1 day after release
- Released
- 4 Jun 2024
- First featured
- No. 52 · 5 Jun 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- 73
- Identifier
- SSRN 4853419
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