Arbitrage-free neural-SDE market models
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting underlying financial constraints and while being practically i...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Routledge
2023
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