On CSI 300 index options, gradient boosting ensembles (LGBM, XGBoost, NGBoost) achieve the lowest RMSE in most experiments, but the training set includes data from after the test period, invalidating the temporal realism claim.
Introduction to boosted trees
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Option Pricing Using Ensemble Learning
On CSI 300 index options, gradient boosting ensembles (LGBM, XGBoost, NGBoost) achieve the lowest RMSE in most experiments, but the training set includes data from after the test period, invalidating the temporal realism claim.