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Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
(MDPI AG, 2020-09-15)
[Abstract]
Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach ...
On a Neural Network to Extract Implied Information from American Options
(Routledge, 2022)
[Abstract] Extracting implied information, like volatility and dividend, from observed option prices is a challenging task when dealing with American options, because of the complex-shaped early-exercise regions and the ...