Machine Learning Techniques for Deciphering Implied...

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Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling

Mahdavi-Damghani, Babak, Roberts, Stephen
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Year:
2018
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.3133862
File:
PDF, 1.69 MB
english, 2018
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