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Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders.
Brian Ning
Sebastian Jaimungal
Xiaorong Zhang
Maxime Bergeron
Published in:
CoRR (2021)
Keyphrases
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stock price
financial markets
denoising
stock market
three dimensional
surface reconstruction
non stationary
historical data
image segmentation
stock exchange
d objects
optical flow
cross section
garch model
range images
multiscale
surface model