DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces
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Abstract (arXiv)
This article presents with DYSANOS the first generative market model for smooth SANOS option surfaces for all strikes and expiries which are free of static arbitrage. Our model is designed to generate entire paths of daily spot and option prices for years in the future. We present a robust and useful if somewhat simplistic baseline in the form of an AR(1) model. We discuss model setup, data pipeline, and training and investigate market reconstruction, stability, and tail behavior. We illustrate model performance on 891 Option Metrics IvyDB S&P Index surfaces from 2022-01-03 through to 2025-08-29. We also demonstrate how to construct numerically a risk-neutral density. As part of this we develop a new test for zero conditional means under a given measure. We show that for a set of 100,000 simulated paths a trading universe of 48 options and spot is numerically free of dynamic arbitrage.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). Builds on 6 of its 25 references that are in the map. First posted on arXiv 12 Aug 2026.
Builds on
6 of 25 references.
References · 6
- 2018Deep Hedgingcited by 108
- 2019Deep Hedging: Learning to Simulate Equity Option Marketscited by 25
- 2021Arbitrage-free neural-SDE market modelscited by 19
- 2021Multi-Asset Spot and Option Market Simulationcited by 17
- 2021Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measurescited by 11
- 2021Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoderscited by 9
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Citing papers per year: 2026: 1.
1 paper.