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0111 · Nov 202519922001200920172026
1 result for “PCA-Smolyak”
Proof-Carrying No-Arbitrage Surfaces: Constructive PCA-Smolyak Meets Chain-Consistent Diffusion with c-EMOT Certificatesq-fin.CP

We create consistent option surfaces without arbitrage.

problem Constructing consistent option surfaces free of arbitrage across different maturities.
method Combining PCA-Smolyak approximation with chain-consistent diffusion and c-EMOT bridge.
result Computable certificates for strong convexity, solver correctness, and Dupire/Greeks stability.
option surfacesarbitrage-freechain-consistentPCA-Smolyakc-EMOT
2025-11-12abs ↗pdf ↗