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SSRNDerivatives & Volatility

Nonlinear Forecasting of Volatility

A new framework for forecasting implied volatility in European put and call options is introduced, using the functional Neural Tangent Kernel estimator to handle the nonlinear and asymmetric dependencies inherent to implied volatility.

Featured in No. 13 on 24 Aug 2023 · 3 days after release

Released
21 Aug 2023
First featured
No. 13 · 24 Aug 2023
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4547560

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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