Xin-Jiang He

Zhejiang University of Technology

China

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Scholarly Papers (1)

Regularization Effect on Model Calibration

Journal of Risk, Vol. 24, No. 3
Number of pages: 28 Posted: 01 Mar 2022
Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
Department of Statistics and Actuarial Science - Stellenbosch University, Zhejiang University of Technology and University of Wollongong
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Abstract:

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model calibration; regularization; option pricing model; out-of-sample forecast; global optimization.