Online adaptive machine learning based algorithm for implied volatility surface modeling
نویسندگان
چکیده
منابع مشابه
Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling
In this work, we design a machine learning based method – online adaptive primal support vector regression (SVR) – to model the implied volatility surface. The algorithm proposed is the first derivation and implementation of an online primal kernel SVR. It features enhancements that allow online adaptive learning by embedding the idea of local fitness and budget maintenance. To accelerate our a...
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The widespread practice of quoting option prices in terms of their Black-Scholes implied volatilities (IVs) in no way implies that market participants believe underlying returns to be lognormal. On the contrary, the variation of IVs across option strike and term to maturity, which is widely referred to as the volatility surface, can be substantial. In this brief review, we highlight some empiri...
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ژورنال
عنوان ژورنال: Knowledge-Based Systems
سال: 2019
ISSN: 0950-7051
DOI: 10.1016/j.knosys.2018.08.039