Researchers propose AddMart, a no-arbitrage implied-volatility-surface reconstruction framework
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Haochen Luo and co-authors released AddMart, a few-shot implied-volatility-surface reconstruction framework that embeds no-arbitrage structure into the architecture, generating continuous and valid surfaces from a small number of option quotes and achieving global static no-arbitrage. The framework maps sparse option quotes to nonnegative incremental densities of an exponential additive martingale, thereby recovering valid risk-neutral marginal distributions and implied volatility. Experiments on 10 real option datasets show competitive reconstruction accuracy, no significant static-arbitrage violations, and direct applicability to VaR, CVaR, and crash-probability estimation.
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- arXiv q-finNo-Arbitrage Implied Volatility Surface Reconstruction via Additive Martingales
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.
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