Implied Volatility Surface Modeling on NDX OptionMetrics 251 daily snapshots (deployment)
0Eta RateNeural Slack Variables
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Neural Slack VariablesTraining Time (h)=1.32026.06 | 0 | 0 | |
| PenaltyTraining Time (h)=1.12026.06 | 0.049 | 0.28 | |
| Neural Augmented LagrangianTraining Time (h)=1.22026.06 | 0.15 | 0.77 |