Deep IV Factor Models
The Deep Implied Volatility Factor Model, combining neural networks and linear regression, is proposed for estimating the daily Implied Volatility surface of individual stock options, improving performance around earnings announcements.
Featured in No. 101 on 11 Jun 2025 · 6 days after release
- Released
- 5 Jun 2025
- First featured
- No. 101 · 11 Jun 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5283770
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