Implied Volatility Surface Modeling on NDX OptionMetrics PAIRWISE 251 daily snapshots (interpolation)
0Eta RateNeural Slack Variables
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Neural Slack VariablesTraining Time (h)=1.32026.06 | 0 | 0 | |
| PenaltyTraining Time (h)=1.12026.06 | 0.0003 | 0.0016 | |
| Neural Augmented LagrangianTraining Time (h)=1.22026.06 | 0.0011 | 0.0044 |