9.12 Price extrapolation using KRR and Taylor

We reproduce here the figure 9.15 of the book. We show price extrapolation using Kernel Ridge Regression (KRR) and Taylor series. Utilitary functions can be found next to this file.

Necessary Imports

import os
import sys

from matplotlib import pyplot as plt

try:
    CURRENT_DIR = os.path.dirname(os.path.abspath(__file__))
except NameError:
    CURRENT_DIR = os.getcwd()
data_path = os.path.join(CURRENT_DIR, "data")
PARENT_DIR = os.path.abspath(os.path.join(CURRENT_DIR, ".."))
sys.path.insert(0, PARENT_DIR)

from utils.ch9.heston import *

params = predict_prices()
params["graphic"](params)
plt.show()