Search Results for author: Gábor Fáth

Found 1 papers, 1 papers with code

Deep Weighted Monte Carlo: A hybrid option pricing framework using neural networks

1 code implementation30 Aug 2022 Sándor Kunsági-Máté, Gábor Fáth, István Csabai, Gábor Molnár-Sáska

Recent studies have demonstrated the efficiency of Variational Autoencoders (VAE) to compress high-dimensional implied volatility surfaces into a low dimensional representation.

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