Volatility Surface Estimation on Realistic options outlier data set (out-of-sample)
3.6MAPE (0.5% Quantile)2SKS
Evaluation results
| Method | Links | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2SKS2024.03 | 3.6 | 6.5 | 17.2 | 21.6 | 50.4 | 0.999 | 0.036 | 0.121 | 1.759 | 6.823 | 30.02 | 76.652 | |
| Statistically Robust EstimatorCross-validation (CV) procedure=true2024.03 | 3.6 | 6.4 | 17 | 20.3 | 43.7 | 0.837 | 0.033 | 0.104 | 1.248 | 4.522 | 19.645 | 55.261 | |
| Statistically Robust Estimatordelta (δ) parameter=10^-22024.03 | 3.7 | 6.5 | 17 | 20.3 | 44 | 0.841 | 0.035 | 0.112 | 1.579 | 5.88 | 25.521 | 70.708 | |
| KS2024.03 | 4.7 | 8.8 | 23.6 | 27.4 | 56.3 | 1.033 | 0.323 | 1.616 | 14.042 | 19.653 | 59.534 | 105.361 |