Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - 2021
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and … from static (or model-independent) arbitrage and study the inference problem where a model is learnt from discrete time … modelled SDE system, and impose constraints on the neural nets such that no-arbitrage conditions are preserved. In particular …