Implied volatility forecasting for american options based on random forest regressor, linear regression model

HIGHLIGHTS

• What: This study uses statistical metrics and machine_learning model called random forest model and linear regression model to describe and run the results to forecast the variation of financial market, which are showed in methodology. Within the models, Random Forest Model is mainly used to apply to de prediction of the option pricing, and Linear Regression Model is used as benchmark to verify the accuracy of the performance of Random Forest Model.
• Who: Chang Liu from the Department of Economics and Management, Changchun University of Science and Technology, Changchun, China have published the research: Implied . . .
  

   

  

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