Improved estimation of implied volatility with stacking-blending ensemble model
Fabrizio Di Sciorio, Raffaele Mattera, Juan E. Trinidad Segovia, and Laura Molero González
| Year of publication: |
2025
|
|---|---|
| Authors: | Di Sciorio, Fabrizio ; Mattera, Raffaele ; Trinidad Segovia, Juan Evangelista ; Molero González, Laura |
| Published in: |
Advances in Quantitative Methods for Economics and Business : A Tribute to José García Pérez. - Cham : Springer Nature Switzerland, ISBN 978-3-031-84782-0. - 2025, p. 271-292
|
| Subject: | Blending model | Conformal prediction | Ensemble models | Implied volatility | Stacking methods | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-031-84782-0_14 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464331