论文标题
风险中立的市场模拟
Risk-Neutral Market Simulation
论文作者
论文摘要
我们为单个基础的风险中立景点和股票期权市场模拟器开发了一个基础，在该基础上，联合市场过程是Martingale。 We leverage an efficient low-dimensional representation of the market which preserves no static arbitrage, and employ neural spline flows to simulate samples which are free from conditional drifts and are highly realistic in the sense that among all possible risk-neutral simulators, the obtained risk-neutral simulator is the closest to the historical data with respect to the Kullback-Leibler divergence.数值实验证明了有效性，并突出了校准模拟器的漂移和保真度。
We develop a risk-neutral spot and equity option market simulator for a single underlying, under which the joint market process is a martingale. We leverage an efficient low-dimensional representation of the market which preserves no static arbitrage, and employ neural spline flows to simulate samples which are free from conditional drifts and are highly realistic in the sense that among all possible risk-neutral simulators, the obtained risk-neutral simulator is the closest to the historical data with respect to the Kullback-Leibler divergence. Numerical experiments demonstrate the effectiveness and highlight both drift removal and fidelity of the calibrated simulator.
