生成无套利的平滑期权曲面，可模拟多年每日价格路径
DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces
- 基于AR(1)隐状态模型生成连续期权曲面
- 2020-2025年数据验证，避免静态套利且路径平滑
- 适合量化交易与风险建模研究者使用
本文提出首个生成式市场模型DYSANOS，可生成所有行权价与到期日的平滑、无静态套利期权曲面。该模型旨在生成未来数年的每日标的资产与期权价格路径。我们设计了一个稳健但简化的隐状态生成模型，采用AR(1)结构。讨论了模型设定、数据管道与训练流程，并检验了动态套利的数值存在性。在Option Metrics的IvyDB标普指数数据（2020–2025）上验证性能，与纯隐含波动率主成分分析模型对比。
原文摘要 · Abstract (English)
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 hidden state generative model in the form of an AR(1) model. We discuss model setup, data pipeline, and training and investigate numerical resence of dynamic arbitrage. We illustrate model performance on Option Metrics' IvyDB S\&P Index data from 2020 to~2025 and compare it to a pure implied-vol PCA model.
Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品；中文卡片由大模型生成，请以原文为准。