Fast Bayesian Calibration of Option Pricing Models Based on Sequential Monte Carlo Methods and Deep Learning.

Model calibration is a challenging yet fundamental task in financial engineering. Using sequential Monte Carlo methods, we reformulate the nonconvex optimization problem as a Bayesian estimation task. This allows to compute any statistic of the estimated parameters, mitigating the strong dependence...

Full description

Bibliographic Details

Published in:	Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 25
Main Authors:	Brignone, Riccardo, Gonzato, Luca, Knaust, Sven, Lütkebohmert, Eva
Format:	Article
Published:	Oxford University Press / USA 2026
Subjects:	Monte Carlo method Bayes' estimation Standard & Poor's 500 Index Markov chain Monte Carlo Financial engineering Deep learning Artificial neural networks
Online Access:	View this record in EBSCOhost