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Volatility Model Pricing and Calibration with Neural Networks using Bayesian Optimisation
Stochastic Alpha, Beta, Rho (SABR) and Heston Volatility models have been used in the financial industry due to their ability to price options as a function of time to maturity and moneyness. Implied volatilities for these models are accurately estimated using a numerical integration approach, Monte...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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