Fast Bayesian calibration of option pricing models based on sequential Monte Carlo methods and deep learning

FreiDok plus (Universitätsbibliothek Freiburg) 2026

Authors: Eva-Maria Lütkebohmert-Holtz, Riccardo Brignone, Luca Gonzato, Sven Knaust

Cited by: 0

Fields of Study & Subjects

Stochastic processes and financial applications Markov Chains and Monte Carlo Methods Gaussian Processes and Bayesian Inference