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Asset Movement Forcasting with the Implied Volatility Surface Analysis Based on SABR Model
Conference paper
Xu, Shaowei, Huan, Hongxin, Qi, Yuanyuan, Guo, Guoxiang, Yen, Jerome. Asset Movement Forcasting with the Implied Volatility Surface Analysis Based on SABR Model[C]. Institute of Electrical and Electronics Engineers Inc., USA:IEEE, 345 E 47TH ST, NEW YORK, NY 10017 USA, 2022, 662-667.
Authors:
Xu, Shaowei
;
Huan, Hongxin
;
Qi, Yuanyuan
;
Guo, Guoxiang
;
Yen, Jerome
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Submit date：2023/03/06
Asset Movement Prediction
Stochastic Volatility Model
Sabr Volatility Model
Machine Learning
