Researchers release paper on GROMM no-arbitrage option market model
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Magnus Wiese, Hans Buehler, and Blanka Horvath have released a paper on the GROMM European option market model based on the SANOS framework. This model enables smooth interpolation between option prices, and its dynamics have been proven to have a unique strong solution. The model was validated on S&P index option data from January 2022 to August 2025. Its initial state fits over 95% of relevant market option prices within the bid-ask spread. After training under both the P and Q measures, it maintains no-arbitrage properties while fitting market dynamics well. The study also proposes the BHW test for checking no-arbitrage conditions.
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- arXiv q-finGROMM: A No-Arbitrage Generative Risk-Neutral Option Market Model Based on the SANOS Framework
The study proposes GROMM, a static and dynamic no-arbitrage European option market model based on the SANOS framework, which enables smooth interpolation between option prices, and has proven that its dynamics have a unique strong solution. The model is validated on S&P index option data from January 2022 to August 2025, with initial states fitting over 95% of relevant market option prices within the bid-ask spread. The model maintains no-arbitrage properties after training under both P and Q measures while fitting market dynamics well, and the study also proposes a series of BHW tests for checking no-arbitrage.
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