Volatility models in practice: Rough, Path-dependent or Markovian?
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- Antonis Papapantoleon & Jasper Rou, 2024. "A time-stepping deep gradient flow method for option pricing in (rough) diffusion models," Papers 2403.00746, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2024-02-05 (Risk Management)
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