A VAE-compressed volatility surface plus a small neural network can approximate QuantLib prices for American puts and arithmetic Asian options in a single forward pass.
Wilmott ,\ @noop title Paul Wilmott on quantitative finance \ ( publisher John Wiley & Sons ,\ year 2013 ) NoStop
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Deep Learning Option Pricing with Market Implied Volatility Surfaces
A VAE-compressed volatility surface plus a small neural network can approximate QuantLib prices for American puts and arithmetic Asian options in a single forward pass.