2 papers
q-fin.CP2025
Deep Learning Option Pricing with Market Implied Volatility Surfaces
Lijie Ding, Egang Lu, Kin Cheung
We present a deep learning framework for pricing options based on market-implied volatility surfaces. Using end-of-day S\&P 500 index options quotes from 2018-2023, we construct ar…
q-fin.PR2025
Fast Derivative Valuation from Volatility Surfaces using Machine Learning
Lijie Ding, Egang Lu, Kin Cheung
We introduce a fast and flexible Machine Learning (ML) framework for pricing derivative products whose valuation depends on volatility surfaces. By parameterizing volatility surfac…