most citedA generative adversarial network approach to calibration of local stochastic volatility models

61 citations · 61 across the 1 of their papers we have counts for

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q-fin.CP2020★ 61 cited

A generative adversarial network approach to calibration of local stochastic volatility models

Christa Cuchiero, Wahid Khosrawi, Josef Teichmann

We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface. To ac…