{"title":"(Non)-Parametric Regressions: Applications to Local Stochastic Volatility Models","authors":"P. Henry-Labordère","doi":"10.2139/ssrn.3374875","DOIUrl":null,"url":null,"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.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2019-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Nonparametric Methods (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3374875","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
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.
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