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Multi-Asset Spot and Option Market Simulation · Study

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PreprintMulti-Asset Spot and Option Market Simulation

Magnus Wiese2021

OA

Preprintgreen2021

Multi-Asset Spot and Option Market Simulation

Magnus Wiese · Ben Wood · Ralf Korn · Hans Buehler · Phillip Murray · Lianjun Bai

16 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Model Reduction and Neural Networks

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2001Empirical properties of asset returns: stylized facts and statistical issues 2018Volatility Is Rough 2016Deep Direct Reinforcement Learning for Financial Signal Representation and Trading 2020Quant GANs: deep generation of financial time series 2019Deep hedging 2006Reinforcement learning for optimized trade execution

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2020Quant GANs: deep generation of financial time seriesarticle · 7 shared references 2023Recent advances in reinforcement learning in financearticle · 7 shared references 2021Recent Advances in Reinforcement Learning in Financepreprint · 7 shared references 2023From Constant to Rough: A Survey of Continuous Volatility Modelingarticle · 6 shared references 2021Empirical Deep Hedgingarticle · 6 shared references 2024VolGAN: A Generative Model for Arbitrage-Free Implied Volatility Surfacesarticle · 6 shared references

Details

Year2021

Typepreprint

Published2021-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.3980817

openalex_workW4210695047

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