]>Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming : Figure 6
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Figure 6: Volatility surfaces of the generated GP volatility models against BS model for short-term OTM call options at 30/01/2003 (a), short-term ATM call options at 30/04/2003 (b), and short-term ITM call options at 20/03/2003 (c).