"Arbitrage-Free Implied Volatility Surface Generation with Variational ..."

Brian Ning et al. (2023)

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DOI: 10.1137/21M1443546

access: closed

type: Journal Article

metadata version: 2023-11-09

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Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron:
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. SIAM J. Financial Math. 14(4): 1004-1027 (2023)

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