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q-fin.ST2021★ 2 cited
Data-driven Hedging of Stock Index Options via Deep Learning
Jie Chen, Lingfei Li
We develop deep learning models to learn the hedge ratio for S&P500 index options directly from options data. We compare different combinations of features and show that a feedforw…
q-fin.ST2021★ 5 cited
A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface
Wenyong Zhang, Lingfei Li, Gongqiu Zhang
We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage. In the first step, we select features to represent the surface and…