Neural generative model learns continuous term structures of risk-neutral moments from standard normals, enforces no-arbitrage, and extracts densities that price options more accurately and stably than three parametric plus nine stochastic baselines.
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Risk-Neutral Generative Networks
Neural generative model learns continuous term structures of risk-neutral moments from standard normals, enforces no-arbitrage, and extracts densities that price options more accurately and stably than three parametric plus nine stochastic baselines.