4 papers · 1 filter
GROMM: Generative Risk-neutral Option Market Models
Magnus Wiese, Hans Buehler, Blanka Horvath
We present a statically and dynamically arbitrage-free European option market model with smooth interpolation between option prices, based on the SANOS framework, and prove that it…
DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces
Hans Buehler, Blanka Horvath, Anastasis Kratsios +1
This article presents with DYSANOS the first generative market model for smooth SANOS option surfaces for all strikes and expiries which are free of static arbitrage. Our model is…
PIVOT: Bridging Black-Scholes Implied-Volatility and Price Objectives via Differentiable Jäckel Operator
Raeid Saqur, Yannick Limmer, Anastasis Kratsios +2
Modern option-learning systems operate in two coordinates: price space, where markets quote and no-arbitrage constraints are most naturally enforced, and implied volatility (IV) sp…
SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces
Hans Buehler, Blanka Horvath, Anastasis Kratsios +2
We present a simple, numerically efficient but highly flexible non-parametric method to construct representations of option price surfaces which are both smooth and strictly arbitr…