Option Hedging on S&P 500 options 317 shorter prediction horizons (out-of-sample)
6.92DM Test StatisticABSM
Evaluation Results
| Method | Links | |
|---|---|---|
| ABSMReference Model=HSV, Reference Category=Structural models2026.04 | 6.92 | |
| ABSMReference Model=HSVJ, Reference Category=Structural models2026.04 | 6.83 | |
| BSMReference Model=HSV, Reference Category=Structural models2026.04 | 6.63 | |
| BSMReference Model=HSVJ, Reference Category=Structural models2026.04 | 6.56 | |
| ABSMReference Model=NN+Bnd, Reference Category=Benchmark NNs2026.04 | 3.19 | |
| ABSMReference Model=NN+Shape, Reference Category=Benchmark NNs2026.04 | 3.17 | |
| BSMReference Model=NN+Shape, Reference Category=Benchmark NNs2026.04 | 2.99 | |
| ABSMReference Model=NN, Reference Category=Benchmark NNs2026.04 | 2.9 | |
| BSMReference Model=NN+Bnd, Reference Category=Benchmark NNs2026.04 | 2.82 | |
| ABSMReference Model=PINN+BSM, Reference Category=Benchmark NNs2026.04 | 2.66 | |
| BSMReference Model=NN, Reference Category=Benchmark NNs2026.04 | 2.64 | |
| NN+BndReference Model=NN+Shape, Reference Category=Benchmark NNs2026.04 | 2.5 | |
| BSMReference Model=PINN+BSM, Reference Category=Benchmark NNs2026.04 | 2.48 | |
| NNReference Model=NN+Shape, Reference Category=Benchmark NNs2026.04 | 2.25 | |
| ABSMReference Model=SKINN+DSNN-NASV, Reference Category=SPSKR2026.04 | 1.8 | |
| ABSMReference Model=SKINN+DSNN-HSV, Reference Category=SPSKR2026.04 | 1.75 | |
| NN+BndReference Model=PINN+BSM, Reference Category=Benchmark NNs2026.04 | 1.57 | |
| ABSMReference Model=SKINN+AE-BSM, Reference Category=NPSKR2026.04 | 1.48 | |
| ABSMReference Model=SKINN+MOPA, Reference Category=NPSKR2026.04 | 1.44 | |
| NNReference Model=PINN+BSM, Reference Category=Benchmark NNs2026.04 | 1.11 | |
| ABSMReference Model=SKINN+HSV, Reference Category=PSKR2026.04 | 1.11 | |
| BSMReference Model=SKINN+DSNN-NASV, Reference Category=SPSKR2026.04 | 0.79 | |
| BSMReference Model=SKINN+DSNN-HSV, Reference Category=SPSKR2026.04 | 0.7 | |
| BSMReference Model=SKINN+AE-BSM, Reference Category=NPSKR2026.04 | 0.68 | |
| ABSMReference Model=SKINN+HSVJ, Reference Category=PSKR2026.04 | 0.63 | |
| BSMReference Model=SKINN+MOPA, Reference Category=NPSKR2026.04 | 0.07 | |
| HSVJReference Model=NN+Shape, Reference Category=Benchmark NNs2026.04 | 0.01 | |
| HSVReference Model=NN+Shape, Reference Category=Benchmark NNs2026.04 | -0.12 | |
| BSMReference Model=SKINN+HSV, Reference Category=PSKR2026.04 | -0.16 | |
| HSVJReference Model=PINN+BSM, Reference Category=Benchmark NNs2026.04 | -0.21 | |
| HSVReference Model=PINN+BSM, Reference Category=Benchmark NNs2026.04 | -0.31 | |
| NN+ShapeReference Model=PINN+BSM, Reference Category=Benchmark NNs2026.04 | -0.31 | |
| BSMReference Model=SKINN+HSVJ, Reference Category=PSKR2026.04 | -0.71 | |
| NNReference Model=NN+Bnd, Reference Category=Benchmark NNs2026.04 | -1.15 | |
| HSVReference Model=HSVJ, Reference Category=Structural models2026.04 | -1.31 | |
| HSVJReference Model=NN, Reference Category=Benchmark NNs2026.04 | -1.55 | |
| HSVReference Model=NN, Reference Category=Benchmark NNs2026.04 | -1.65 | |
| PINN+BSMReference Model=SKINN+DSNN-HSV, Reference Category=SPSKR2026.04 | -2.22 | |
| NNReference Model=SKINN+DSNN-HSV, Reference Category=SPSKR2026.04 | -2.25 | |
| NN+BndReference Model=SKINN+DSNN-HSV, Reference Category=SPSKR2026.04 | -2.33 | |
| NNReference Model=SKINN+DSNN-NASV, Reference Category=SPSKR2026.04 | -2.34 | |
| PINN+BSMReference Model=SKINN+DSNN-NASV, Reference Category=SPSKR2026.04 | -2.34 | |
| PINN+BSMReference Model=SKINN+HSV, Reference Category=PSKR2026.04 | -2.41 | |
| PINN+BSMReference Model=SKINN+HSVJ, Reference Category=PSKR2026.04 | -2.41 | |
| PINN+BSMReference Model=SKINN+AE-BSM, Reference Category=NPSKR2026.04 | -2.46 | |
| NN+BndReference Model=SKINN+DSNN-NASV, Reference Category=SPSKR2026.04 | -2.47 | |
| HSVJReference Model=NN+Bnd, Reference Category=Benchmark NNs2026.04 | -2.49 | |
| PINN+BSMReference Model=SKINN+MOPA, Reference Category=NPSKR2026.04 | -2.53 | |
| HSVReference Model=NN+Bnd, Reference Category=Benchmark NNs2026.04 | -2.59 | |
| NN+ShapeReference Model=SKINN+DSNN-HSV, Reference Category=SPSKR2026.04 | -2.7 | |
| NNReference Model=SKINN+HSV, Reference Category=PSKR2026.04 | -2.74 | |
| NN+ShapeReference Model=SKINN+DSNN-NASV, Reference Category=SPSKR2026.04 | -2.77 | |
| NNReference Model=SKINN+HSVJ, Reference Category=PSKR2026.04 | -2.78 | |
| NNReference Model=SKINN+MOPA, Reference Category=NPSKR2026.04 | -2.8 | |
| NN+BndReference Model=SKINN+HSV, Reference Category=PSKR2026.04 | -2.87 | |
| NN+BndReference Model=SKINN+HSVJ, Reference Category=PSKR2026.04 | -2.94 | |
| NN+BndReference Model=SKINN+MOPA, Reference Category=NPSKR2026.04 | -2.96 | |
| NN+ShapeReference Model=SKINN+MOPA, Reference Category=NPSKR2026.04 | -3.03 | |
| NN+ShapeReference Model=SKINN+HSVJ, Reference Category=PSKR2026.04 | -3.1 | |
| NN+ShapeReference Model=SKINN+HSV, Reference Category=PSKR2026.04 | -3.11 | |
| NNReference Model=SKINN+AE-BSM, Reference Category=NPSKR2026.04 | -3.14 | |
| PINN+BSMReference Model=SKINN+BSM, Reference Category=PSKR2026.04 | -3.23 | |
| PINN+BSMReference Model=SKINN+ABSM, Reference Category=PSKR2026.04 | -3.29 | |
| NN+ShapeReference Model=SKINN+AE-BSM, Reference Category=NPSKR2026.04 | -3.34 | |
| NN+BndReference Model=SKINN+AE-BSM, Reference Category=NPSKR2026.04 | -3.59 | |
| BSMReference Model=ABSM, Reference Category=Structural models2026.04 | -3.62 | |
| NN+ShapeReference Model=SKINN+BSM, Reference Category=PSKR2026.04 | -3.86 | |
| NN+ShapeReference Model=SKINN+ABSM, Reference Category=PSKR2026.04 | -3.89 | |
| NNReference Model=SKINN+BSM, Reference Category=PSKR2026.04 | -3.94 | |
| NNReference Model=SKINN+ABSM, Reference Category=PSKR2026.04 | -4.02 | |
| NN+BndReference Model=SKINN+BSM, Reference Category=PSKR2026.04 | -4.44 | |
| NN+BndReference Model=SKINN+ABSM, Reference Category=PSKR2026.04 | -4.58 | |
| ABSMReference Model=SKINN+ABSM, Reference Category=PSKR2026.04 | -5.57 | |
| ABSMReference Model=SKINN+BSM, Reference Category=PSKR2026.04 | -5.59 | |
| HSVJReference Model=SKINN+AE-BSM, Reference Category=NPSKR2026.04 | -5.61 | |
| HSVReference Model=SKINN+AE-BSM, Reference Category=NPSKR2026.04 | -5.68 | |
| HSVJReference Model=SKINN+DSNN-HSV, Reference Category=SPSKR2026.04 | -6.06 | |
| HSVReference Model=SKINN+DSNN-HSV, Reference Category=SPSKR2026.04 | -6.26 | |
| BSMReference Model=SKINN+ABSM, Reference Category=PSKR2026.04 | -6.34 | |
| HSVJReference Model=SKINN+DSNN-NASV, Reference Category=SPSKR2026.04 | -6.43 | |
| HSVReference Model=SKINN+DSNN-NASV, Reference Category=SPSKR2026.04 | -6.51 | |
| HSVJReference Model=SKINN+HSVJ, Reference Category=PSKR2026.04 | -6.56 | |
| BSMReference Model=SKINN+BSM, Reference Category=PSKR2026.04 | -6.58 | |
| HSVJReference Model=SKINN+MOPA, Reference Category=NPSKR2026.04 | -6.66 | |
| HSVReference Model=SKINN+MOPA, Reference Category=NPSKR2026.04 | -6.69 | |
| HSVJReference Model=SKINN+ABSM, Reference Category=PSKR2026.04 | -6.77 | |
| HSVReference Model=SKINN+HSVJ, Reference Category=PSKR2026.04 | -6.78 | |
| HSVJReference Model=SKINN+BSM, Reference Category=PSKR2026.04 | -6.88 | |
| HSVReference Model=SKINN+ABSM, Reference Category=PSKR2026.04 | -6.9 | |
| HSVReference Model=SKINN+BSM, Reference Category=PSKR2026.04 | -7.01 | |
| HSVJReference Model=SKINN+HSV, Reference Category=PSKR2026.04 | -7.11 | |
| HSVReference Model=SKINN+HSV, Reference Category=PSKR2026.04 | -7.32 |