Magnus Wiese, Hans Buehler, Blanka N. Horvath · 2026 · arXiv (Cornell University)
DOI: 10.48550/arxiv.2610.16732 · cited by 0 works (OpenAlex) · open-access PDF
我们以SANOS框架为基础,呈现一种静态且动态的无仲裁的欧洲选项市场模型,在选项价格之间进行平稳的互动,并证明其动态允许一个独特的强有力的解决方案。在精神上,它是当后者被用来代表欧洲选项价格表面而不是作为定价模型时的本地波动的斯托加斯式模型。我们展示了我们在2022年1月至2025年8月的S&P指数选项数据上的方法的强度。我们展示了该模型的初始状态符合相关市场选项价格的95%以上的报价/请求范围。然后我们训练了在$\mathbb{P}$和$\mathbb{Q}下模型的动态,并展示了该模型确实没有仲裁
Machine translation (Meta M2M100); the English original follows.
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 its dynamics admit a unique strong solution. In spirit, it is a stochastic model for local volatility when the latter is used as a representation of a European option price surface, not as a pricing model. We illustrate the strength of our approach on S&P Index Option data from January 2022 to August 2025. We show that the model's initial state fits within bid/ask for more than 95% of relevant market option prices. We then train the model dynamics under $\mathbb{P}$ and $\mathbb{Q}$ and show that the model is indeed free of arbitrage while fitting the dynamics of the market well. We also propose a range of BHW-tests to test for absence of arbitrage.
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Topics: Valuation of options, Econometrics, Call option, Economics, Implied volatility, Arbitrage
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