We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be used to implement a stochastic implied volatility model in the following two steps: 1. Train a market simulator for option prices, as discussed for example in our recent; 2. Find a risk-neutral density, specifically the minimal entropy martingale measure. The resulting model can be used for risk-neutral pricing, or for Deep Hedging in the case of transaction costs or trading constraints. To motivate the proposed approach, we also show that market dynamics are free from "statistical arbitrage" in the absence of transaction costs if and only if they follow a risk-neutral measure. We additionally provide a more general characterization in the presence of convex transaction costs and trading constraints. These results can be seen as an analogue of the fundamental theorem of asset pricing for statistical arbitrage under trading frictions and are of independent interest.
翻译:我们提出了一个数字效率高的方法,用于学习模拟现货和期权价格路径的风险中和风险中性措施,直至交易成本和分流交易限制下,在固定的地平线交易成本和期权交易限制下,采用模拟现货和期权价格到一定的地平线,然后在以下两个步骤中采用随机隐含的波动模式:1. 如我们最近讨论的那样,对选择价格进行市场模拟模拟器的培训;2. 寻找一种风险中性密度,特别是最小的酶马丁格勒措施;由此形成的模型可用于风险中性定价,或在交易成本或交易限制情况下用于深层套换代金;为激励拟议的办法,我们还表明市场动态在没有交易成本的情况下,如果并且只有当市场遵循风险中性措施,市场动态不受“统计套利”的影响;我们进一步对存在convex交易成本和贸易限制的情况进行更笼统的描述;这些结果可被视为在贸易摩擦下进行统计仲裁时资产定价的基本理论的类比。