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Author

Magnus Wiese

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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

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