Neural-Network-Approach-to-Implied-Volatility-Forecasting
PublicImplied volatility is a key aspect when it comes to derivatives pricing. With the growing influence of machine learning in finance, I have investigated the use of LSTMs to forecast 1-day forward Implied Volatility.
cross-validationgarch-modelsimplied-volatilitylstmmachine-learningneural-networkoptimizationpytorchregularizationrnn
Creat:2023-08-28T02:55:44
Update:2024-08-09T19:34:23
7
Stars
0
Stars Increase