Risk-Neutral Market Simulation
نویسندگان
چکیده
We develop a risk-neutral spot and equity option market simulator for single underlying, under which the joint process is martingale. leverage an efficient low-dimensional representation of preserves no static arbitrage, employ neural spline flows to simulate samples are free from conditional drifts highly realistic in sense that among all possible simulators, obtained closest historical data with respect Kullback-Leibler divergence. Numerical experiments demonstrate effectiveness highlight both drift removal fidelity calibrated simulator.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2022
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4022352