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, StephenYear:
2018
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.3133862
File:
PDF, 1.69 MB
english, 2018