A neural network approach to understanding implied volatility movements

被引：24

作者：

Cao, Jay ^{[1
]}

Chen, Jacky ^{[1
]}

Hull, John ^{[1
]}

机构：

[1] Univ Toronto, Joseph L Rotman Sch Management, 105 St George St, Toronto, ON M5S3E6, Canada

来源：

QUANTITATIVE FINANCE | 2020年 / 20卷 / 09期

关键词：

STOCK RETURNS; MODEL; RISK;

D O I：

10.1080/14697688.2020.1750679

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The expected response of an index volatility surface to index movements is quite different in high and low volatility environments

引用

页码：1405 / 1413

页数：9

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