From Stochastic to Rough Volatility: A New Deep Learning Perspective on Hedging
The Black–Scholes model assumes that volatility is constant, and the Heston model assumes that volatility is stochastic, while the rough Bergomi (rBergomi) model, which allows rough volatility, can perform better with high-frequency data. However, classical calibration and hedging techniques are dif...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-03-01
|
| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/7/3/225 |