DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces
DYSANOS is a generative model for option surfaces that are strictly free of static arbitrage. It uses a neural decoder (ML-SANOS) to map a low-dimensional state to smooth surfaces, and an AR(1) factor model for dynamics. On S&P data, it captures first-order effects but admits dynamic arbitrage when options are traded across periods.