Table 3.
Open in new tab

Out-of-sample errors according to moneyness

Moneyness|$S/K<0.9$||$0.9\leq S/K\leq 1$||$1\leq S/K\leq 1.1$||$S/K>1.1$|
Our model3.78e-42.10e-33.54e-32.68e-3
Heston–CIR model4.72e-32.34e-35.79e-39.90e-3
Moneyness|$S/K<0.9$||$0.9\leq S/K\leq 1$||$1\leq S/K\leq 1.1$||$S/K>1.1$|
Our model3.78e-42.10e-33.54e-32.68e-3
Heston–CIR model4.72e-32.34e-35.79e-39.90e-3
Table 3.
Open in new tab

Out-of-sample errors according to moneyness

Moneyness|$S/K<0.9$||$0.9\leq S/K\leq 1$||$1\leq S/K\leq 1.1$||$S/K>1.1$|
Our model3.78e-42.10e-33.54e-32.68e-3
Heston–CIR model4.72e-32.34e-35.79e-39.90e-3
Moneyness|$S/K<0.9$||$0.9\leq S/K\leq 1$||$1\leq S/K\leq 1.1$||$S/K>1.1$|
Our model3.78e-42.10e-33.54e-32.68e-3
Heston–CIR model4.72e-32.34e-35.79e-39.90e-3
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