A generative adversarial network approach to calibration of local stochastic volatility models

1 code implementation • 5 May 2020 • Christa Cuchiero, Wahid Khosrawi, Josef Teichmann

We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.

Generative Adversarial Network