Arbitrage-free neural-SDE market models of traded options
<p>Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This thesis develops a nonparametric model for the European options book respecting underlying financial constraints while being practic...
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| Format: | Thesis |
| Idioma: | English |
| Publicat: |
2022
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