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Rough Bergomi model calibration on Rough Bergomi model 50 parameter values, 200 trajectories (test)
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93
Accuracy
K^2_S
86.76
88.38
90
91.62
Sep 8, 2021
Accuracy
Updated 4d ago
Evaluation Results
Method
Method
Links
Accuracy
K^2_S
Kernel=K^2_S
2021.09
93
K^1_S
Kernel=K^1_S
2021.09
91
RBF
Kernel=RBF
2021.09
87
Matérn
Kernel=Matérn
2021.09
87
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