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20192022
most citedAn unsupervised deep learning approach in solving partial integro-differential equations

13 citations · 30 across the 13 of their papers we have counts for

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q-fin.MF2022

Saddle-Point Approach to Large-Time Volatility Smile

Chun Yat Yeung, Ali Hirsa

We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications i…