Implied Volatility Surface Modeling on NDX OptionMetrics 251 daily snapshots (train)
0.0069Delta MAENeural Slack Variables
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| Neural Slack VariablesTraining Time (h)=1.32026.06 | 0.0069 | 0 | 0 | |
| Neural Augmented LagrangianTraining Time (h)=1.22026.06 | 0.0078 | 0.0012 | 0.0049 | |
| PenaltyTraining Time (h)=1.12026.06 | 0.01 | 0.0006 | 0.0027 |