Volatility Surface Estimation on German DAX index data
0.029RMSEStatistically Robust Estimator
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Statistically Robust EstimatorConstraint Type=Soft Constraints2024.03 | 0.029 | 7.4 | |
| Dupire NNConstraint Type=Soft Constraints2024.03 | 0.044 | 11.1 | |
| Statistically Robust EstimatorConstraint Type=Hard Constraints2024.03 | 0.11 | 31 | |
| Dupire NNConstraint Type=Hard Constraints2024.03 | 0.125 | 34.3 | |
| Statistically Robust EstimatorConstraint Type=Hybrid Constraints2024.03 | 0.131 | 50.8 | |
| Dupire NNConstraint Type=Hybrid Constraints2024.03 | 0.14 | 54.6 |