Pricing turbo warrants under stochastic elasticity of variance
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Publication:508292
DOI10.1016/J.CHAOS.2015.11.043zbMath1415.91296OpenAlexW2214781550MaRDI QIDQ508292
Publication date: 10 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2015.11.043
Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Forecasting the elasticity of variance with LSTM recurrent neural networks ⋮ Complexity in quantitative finance and economics ⋮ Efficient option pricing in crisis based on dynamic elasticity of variance model
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