2 papers
q-fin.CP2026
Mixture-Preserving, Arbitrage-Free Interpolation for Volatility-Surface Models
Thijs van den Berg
Given risk-neutral densities of a tradeable forward, fitted as -component mixtures at a finite set of expiration pillars, we look for a continuous-time interpolation that is (i)…
q-fin.CP2026
Fast, Reliable, and Error-Bounded Option Pricing with Pretrained Neural Networks: A GJR--GARCH Study
Thijs van den Berg
Many models in quantitative finance have no closed-form option prices and rely on slow, noisy Monte Carlo simulation; neural surrogates restore speed but offer no error guarantees.…