Forecasting the elasticity of variance with LSTM recurrent neural networks

DOI10.1080/00207160.2022.2107394zbMath1524.91114OpenAlexW4288427184MaRDI QIDQ6101974

Hyun-Gyoon Kim, Jeong-Hoon Kim

Publication date: 20 June 2023

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2022.2107394

zbMATH Keywords

forecastingHurst exponentvolatilityLSTMelasticity of variance

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

Cites Work

• Unnamed Item
• Pricing turbo warrants under stochastic elasticity of variance
• Stochastic elasticity of vol-of-vol and pricing of variance swaps
• A new microstructure noise index
• Volatility is rough
• AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS

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