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Financial Innovation

Table 9 The out-of-sample performance of the different methods

From: Intelligent option portfolio model with perspective of shadow price and risk-free profit

 

RMSE

MAE

MAPE (%)

GRU model

2.0560

0.1948

7.001

Monte Carlo

2.3303

0.2016

7.673

Volatility correction

2.4363

0.2246

8.168

  1. The table reflects the out-of-sample prediction results of the machine learning model and classic methods
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