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Homeen-gbAn artificial neural network representation of the SABR stochastic volatility modelIn this paper the universal approximation theorem of artificial neural networks (ANNs) is applied to the stochastic alpha beta rho (SABR) stochastic volatility model in order to construct highly efficient representations.
https://www.risk.net/journal-of-computational-finance/7888656/an-artificial-neural-network-representation-of-the-sabr-stochastic-volatility-model
https://www.risk.net/journal-of-computational-finance/7888656/an-artificial-neural-network-representation-of-the-sabr-stochastic-volatility-model
Tue, 19 Oct 2021 10:29:46 +0100