# A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models

@article{Cuchiero2020AGA, title={A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models}, author={Christa Cuchiero and Wahid Khosrawi and Josef Teichmann}, journal={Risks}, year={2020} }

We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family of feed-forward neural networks and learn their parameters directly from the available market option prices. This should be seen in the context of neural SDEs and (causal) generative adversarial networks: we generate volatility surfaces by specific neural…

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