DYSANOS：生成式动态无套利平滑非参数期权曲面
DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces
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中文总结 AI 辅助
本文提出首个无静态套利的DYSANOS生成式市场模型，采用AR(1)基线隐状态模型，在IvyDB S&P指数2020-2025数据上验证性能，与纯隐含波动率PCA模型对比，可生成未来数年的期权价格路径。
中文摘要 AI 辅助
本文提出了DYSANOS，这是首个针对所有行权价和到期日的平滑SANOS期权曲面的生成式市场模型，该模型无静态套利。我们的模型旨在生成未来数年的每日现货价格和期权价格的完整路径。我们提出了一种稳健且实用但略显简化的基线隐状态生成模型，形式为AR(1)模型。我们讨论了模型设置、数据管道和训练，并研究了动态套利的数值存在性。我们在Option Metrics的IvyDB S&P指数2020至2025年的数据上展示了模型性能，并将其与纯隐含波动率PCA模型进行了比较。
英文摘要
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.
发表机构
- University of Oxford（牛津大学）
- McMaster University（麦克马斯特大学）
- Vector Institute（向量研究所）
机构由 AI 辅助整理，请以论文原文为准。
