arXiv cs.LG论文
DYSANOS：生成式动态平滑无套利非参数期权曲面模型
该论文提出 DYSANOS，首个用于生成所有行权价和到期日平滑 SANOS 期权曲面的生成式市场模型，确保静态无套利。模型旨在生成未来多年的每日现货和期权价格路径，并提供了基于 AR(1) 的基线及训练流程。
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Abstract: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 designed to generate entire paths of daily spot and option prices for years in the future. We present a robust and useful if somewhat simplistic baseline in the form of an AR(1) model. We discuss model setup, data pipeline, and training and investigate market reconstruction, stability, and tail behavior. We illustrate model performance on 891 Option Metrics IvyDB S\&P Index surfaces from 2022-01-03 through to 2025-08-29. We also demonstrate how to construct numerically a risk-neutral density. As part of this we develop a new test for zero conditional means under a given measure. We show that for 100,000 simulated paths a trading universe of 48 options and spot is numerically free of dynamic arbitrage.