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Author

Blanka Horvath

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3 papers indexed here

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Preprint Oct 2026

GROMM: Generative Risk-neutral Option Market Models

We present a statically and dynamically arbitrage-free European option market model with smooth interpolation between option prices, based on the SANOS framework, and prove that its dynamics admit a unique strong solution. In spirit, it is a stochastic model for local volatility when the latter is used as a representat...

Magnus Wiese, Hans Buehler, Blanka Horvath · 0 citations
Preprint Oct 2026

GROMM: Generative Risk-neutral Option Market Models

We present a statically and dynamically arbitrage-free European option market model with smooth interpolation between option prices, based on the SANOS framework, and prove that its dynamics admit a unique strong solution. In spirit, it is a stochastic model for local volatility when the latter is used as a representat...

Magnus Wiese, Hans Buehler, Blanka Horvath · 0 citations
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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