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Author

Anastasis Kratsios

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Preprint Aug 2026

DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces

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 simpli...

Hans Buehler, Blanka Horvath, Anastasis Kratsios · 2 citations

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