arXiv q-fin· Haochen Luo, Sifan Lin, Xiaolong Luo, An Binh Minh, Yuan Zhang, Chen Liu·· 13 hr agoAI Score45
No-Arbitrage Implied Volatility Surface Reconstruction via Additive Martingales
Arbitrage-Free Implied Volatility Surface Reconstruction via Additive Martingales
AI summary
This paper proposes AddMart, a few-shot implied volatility surface reconstruction framework that embeds no-arbitrage structure into the architecture to achieve global static no-arbitrage, enabling continuous and valid surface generation from a small number of option quotes. Experiments on 10 real-world option datasets show that the framework delivers competitive reconstruction accuracy with no significant static arbitrage violations, and can be directly applied to VaR, CVaR and crash probability estimation.
Source:arXiv q-fin · arxiv.org
Options and VolatilityMachine LearningRisk ManagementPaper Research#Papers / Research#Options#Volatility#Machine Learning#Risk Management#arXiv