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Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure.

Antoine JacquierLorenzo Torricelli
Published in: SIAM J. Financial Math. (2020)
Keyphrases
  • anomaly detection
  • neural network
  • long term
  • structural information
  • anisotropic diffusion
  • bayesian networks
  • graph structure
  • long run