Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders

Published 2023 View Full Article

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Title
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
Authors
Keywords
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Journal
SIAM Journal on Financial Mathematics
Volume 14, Issue 4, Pages 1004-1027
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Online
2023-10-11
DOI
10.1137/21m1443546
References
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