Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility

29 Jun 2020Sana Ben HamidaWafa AbdelmalekFathi Abid

Volatility is a key variable in option pricing, trading and hedging strategies. The purpose of this paper is to improve the accuracy of forecasting implied volatility using an extension of genetic programming (GP) by means of dynamic training-subset selection methods... (read more)

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