Risk-neutral generative networks

DOI10.1080/14697688.2026.2679119MaRDI QIDQ7313643zbMATH OpenFDO

Authors Xing Yan, Qi Wu

Publication date 13 August 2026

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2026.2679119

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• Arbitrage-free market models for option prices: the multi-strike case
• Arbitrage-free smoothing of the implied volatility surface
• Empirical properties of asset returns: stylized facts and statistical issues
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations
• Option pricing when underlying stock returns are discontinuous
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Simulation of Arbitrage-Free Implied Volatility Surfaces
• Stochastic finance. An introduction in discrete time.
• Stochastic Volatility for Lévy Processes
• Term structure models driven by general Lévy processes
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
• THE RANGE OF TRADED OPTION PRICES

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