Essays on Applied Machine Learning for Implied Volatility Interpolation and Artificial Counterfactuals

PA Crespo - 2019 - search.proquest.com
Since its inception the Black and Scholes (1973) and Merton (1973) valuation formula has
been a subject of much scrutiny and use in financial literature. A valuation model for options …

[PDF][PDF] A random forest model averaging solution for implied volatility interpolation under small data sets

P Crespo - 2018 - academia.edu
Volatility estimates under the risk neutral density have become a much revisited topic of
interest in recent years. The density proves itself a powerful tool for sentiment analysis, since …