Download This Paper(Non)-Parametric Regressions: Applications to Local Stochastic Volatility Models
7 Pages Posted: 29 Apr 2019
Date Written: April 19, 2019
Abstract
In this short paper, we review various (non)-parametric regression methods, mainly k-nearest neighbors, Nadaraya-Watson, LP(p)-estimators, spline regressor and random forest. They are then compared when calibrating local stochastic volatility models using the particle method.
Keywords: Nadaraya-Watson, LP(p)-Estimators, Spline Regressor, Random Forest, LSVM
Suggested Citation: Suggested Citation
Henry-Labordere, Pierre, (Non)-Parametric Regressions: Applications to Local Stochastic Volatility Models (April 19, 2019). Available at SSRN: https://ssrn.com/abstract=3374875 or http://dx.doi.org/10.2139/ssrn.3374875
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