{
  "abstract": "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 representation of a European option price surface, not as a pricing model. We illustrate the strength of our approach on S&P Index Option data from January 2022 to August 2025. We show that the model's initial state fits within bid/ask for more than 95% of relevant market option prices. We then train the model dynamics under $\\mathbb{P}$ and $\\mathbb{Q}$ and show that the model is indeed free of arbitrage while fitting the dynamics of the market well. We also propose a range of BHW-tests to test for absence of arbitrage.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.16732",
  "author_total": 3,
  "authors": [
    {
      "name": "Magnus Wiese"
    },
    {
      "name": "Hans Buehler"
    },
    {
      "name": "Blanka Horvath"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/actj0zvewrac0.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.16732",
  "fulltext_url": null,
  "id": "actj0zvewrac0",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.16732",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.PR"
    ],
    [
      "arxiv",
      "q-fin.CP"
    ],
    [
      "arxiv",
      "q-fin.MF"
    ],
    [
      "arxiv",
      "q-fin.PR"
    ],
    [
      "arxiv",
      "q-fin.ST"
    ],
    [
      "openalex",
      "2003|Stochastic processes and financial applications"
    ]
  ],
  "openalex": "W7221772441",
  "pdf_url": "https://arxiv.org/pdf/2610.16732",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-21",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/actj0zvewrac0.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:34:22Z",
      "native_id": "2610.16732",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.16732"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.PR",
      "subfield": "probability"
    }
  ],
  "title": "GROMM: Generative Risk-neutral Option Market Models",
  "title_text": "GROMM: Generative Risk-neutral Option Market Models",
  "type": "preprint",
  "updated_at": "2026-10-30T12:34:22Z",
  "url": "https://research.draconitic.com/paper/actj0zvewrac0",
  "venue": "arXiv",
  "versions": []
}