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GROMM: Generative Risk-neutral Option Market Models
60h1091g20computational-financemathematical-financepricing-of-securitiesprobabilitystatistical-finance
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 u
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