Articles by Nicolas Privault
Deep self-consistent learning of local volatility
This paper offers an algorithm for calibrating local volatility from market option prices using deep self-consistent learning, by approximating both market option prices and local volatility using deep neural networks.
Stratified approximations for the pricing of options on average
The authors propose stratified approximations of option prices using the gamma and lognormal distributions, with an application to bond pricing in the Dothan model.