Table 5 The range of market quotes
From: A neural network-based framework for financial model calibration
– | Parameters | Range | Samples |
|---|---|---|---|
Market data | Moneyness, \(m=S_{0}/K\) | [0.85, 1.15] | 5 |
Time to maturity, Ï„ | [0.5, 2.0](year) | 7 | |
Risk free rate, r | 0.03 | Fixed | |
European call/put price, V/K | (0.0, 0.6) | – | |
Black–Scholes | Implied Volatility | (0.2, 0.5) | 35 |