---
title: Pricing and Calibration in Volatility Model
url: https://www.ml-quant.com/papers/ssrn/4853419/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4853419
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4853419
featured: 2024-06-05
citations: unknown
topic: Derivatives & Volatility
---


# Pricing and Calibration in Volatility Model

The article presents the pathdependent volatility model that uses historical returns to calculate volatility, and introduces a neural network approximation of the VIX to address computational issues in pricing and calibrating SP 500 and VIX options.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4853419
- Identifier: SSRN 4853419
- Released: 2024-06-04
- First featured: Quant Letter No. 52 (2024-06-05): https://www.ml-quant.com/issues/2024-06-05/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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