Kernelized Implied Volatility Surface (IVS) Estimation on US stock option data (unseen test)
2.6MAPE (0.5% Quantile)KS
Evaluation results
| Method | Links | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| KS2024.03 | 2.6 | 6.8 | 23.2 | 29.4 | 67.7 | 1.438 | 0.313 | 1.606 | 14.434 | 20.188 | 57.797 | 108.901 | |
| 2SKS2024.03 | 2.6 | 5.6 | 17.2 | 23.6 | 60.2 | 1.389 | 0.05 | 0.124 | 2.229 | 7.491 | 33.276 | 78.144 | |
| Statistically Robust Estimatordelta (δ)=10^−22024.03 | 2.8 | 5.7 | 17 | 22.5 | 53.5 | 1.207 | 0.048 | 0.121 | 1.898 | 6.502 | 28.064 | 66.41 | |
| Statistically Robust EstimatorCross-validation (CV)=true2024.03 | 2.8 | 5.7 | 16.9 | 22.4 | 53.4 | 1.24 | 0.043 | 0.109 | 1.513 | 5.079 | 21.096 | 55.005 |