VolGAN: A Generative Model for Arbitrage-Free Implied Volatility Surfaces

DOI10.1080/1350486X.2025.2471317MaRDI QIDQ6934514zbMATH OpenFDO

Authors Rama Cont

Publication date 3 September 2025

Published in Applied Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/1350486X.2025.2471317

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
• A market model for stochastic implied volatility
• A neural network approach to understanding implied volatility movements
• An Introduction to Variational Autoencoders
• Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
• Consistency of option prices under bid-ask spreads
• Deep hedging
• Dynamics of implied volatility surfaces
• Fin-GAN: forecasting and classifying financial time series via generative adversarial networks
• Financial Modelling with Jump Processes
• Nonparametric estimation for stochastic volatility models
• Quant GANs: deep generation of financial time series
• Sample size requirements for estimating Pearson, Kendall and Spearman correlations
• Simulation of Arbitrage-Free Implied Volatility Surfaces
• THE RANGE OF TRADED OPTION PRICES

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