1 code implementation • 20 Dec 2022 • Marc Chataigner, Areski Cousin, Stéphane Crépey, Matthew Dixon, Djibril Gueye
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility surface: a finite dimensional Gaussian process (GP) regression approach under no-arbitrage constraints based on prices, and a neural net (NN) approach with penalization of arbitrages based on implied volatilities.
no code implementations • 4 Aug 2022 • Zied Chaieb, Djibril Gueye
When some of these stopping times are not predictable, the trigger event time is totally inaccessible, and very nice mathematical computations can be derived.
