Local-Vol Surface Cleaning and Barrier Pricing
Local-Vol Surface Cleaning and Barrier Pricing: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). The pipeline should clean a messy option snapshot, build a usable call-price surface, extract a local-volatility surface, and price a discretely monitored down-and-out…
The task
The pipeline should clean a messy option snapshot, build a usable call-price surface, extract a local-volatility surface, and price a discretely monitored down-and-out call. The final exotic price only makes sense if the upstream quote cleaning, pairing, premium conversion, parity handling, surface repair, and…
Part of codeslord/skilltrainbench-public.