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A generative adversarial network approach to calibration of local stochastic volatility models - MaRDI portal

A generative adversarial network approach to calibration of local stochastic volatility models

From MaRDI portal
Publication:6340112

arXiv2005.02505MaRDI QIDQ6340112

Josef Teichmann, Christa Cuchiero, Wahid Khosrawi

Publication date: 5 May 2020




Has companion code repository: https://github.com/wahido/neural_locVol









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