Rough Volatility modeling on Rough Volatility terminal-marginal results
0.0223Mean RMSEMNO
Evaluation Results
| Method | Links | |||
|---|---|---|---|---|
| MNOHurst parameter H=0.52026.05 | 0.0223 | 0.0128 | 0.0249 | |
| MNOHurst parameter H=0.42026.05 | 0.0225 | 0.0129 | 0.0251 | |
| MNOHurst parameter H=0.32026.05 | 0.0226 | 0.0133 | 0.0254 | |
| MNOHurst parameter H=0.22026.05 | 0.0229 | 0.0137 | 0.0258 | |
| MNOHurst parameter H=0.12026.05 | 0.023 | 0.0144 | 0.0257 | |
| Neural SDEHurst parameter H=0.52026.05 | 0.0233 | 0.092 | 0.0653 | |
| Neural SDEHurst parameter H=0.42026.05 | 0.0234 | 0.093 | 0.0655 | |
| Neural CDEHurst parameter H=0.42026.05 | 0.0234 | 0.0934 | 0.0665 | |
| Neural CDEHurst parameter H=0.52026.05 | 0.0234 | 0.0924 | 0.0663 | |
| Neural SDEHurst parameter H=0.32026.05 | 0.0236 | 0.0944 | 0.066 | |
| Neural CDEHurst parameter H=0.32026.05 | 0.0236 | 0.0949 | 0.0669 | |
| Neural SDEHurst parameter H=0.22026.05 | 0.0239 | 0.0963 | 0.0666 | |
| Neural CDEHurst parameter H=0.22026.05 | 0.0239 | 0.0967 | 0.0674 | |
| Neural SDEHurst parameter H=0.12026.05 | 0.024 | 0.099 | 0.0668 | |
| Neural CDEHurst parameter H=0.12026.05 | 0.0241 | 0.0994 | 0.0675 |