neural representation
Shallow Representation of Option Implied Information
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the risk-neutrality of the former into conditions on the latter to rule out static arbitrage. Despite earlier recognition of their parity, the two had been studied in isolation for decades until the recent demand in implied volatility modeling rejuvenated such parity. This paper provides a systematic approach to build neural representations of option implied information. As a preliminary, we first revisit the explicit link between implied density and implied volatility through an alternative and minimalist lens, where implied volatility is viewed not as volatility but as a pointwise corrector mapping the Black-Scholes quasi-density into the implied risk-neutral density. Building on this perspective, we propose the neural representation that incorporates arbitrage constraints through the differentiable corrector. With an additive logistic model as the synthetic benchmark, extensive experiments reveal that deeper or wider network structures do not necessarily improve the model performance due to the nonlinearity of both arbitrage constraints and neural derivatives. By contrast, a shallow feedforward network with a single hidden layer and a specific activation effectively approximates implied density and implied volatility.
- North America > United States > New York > New York County > New York City (0.04)
- Europe > Spain > Galicia > Madrid (0.04)
- Europe > United Kingdom > England > Oxfordshire > Oxford (0.14)
- North America > United States > Massachusetts > Middlesex County > Cambridge (0.04)
- North America > Canada > Alberta > Census Division No. 15 > Improvement District No. 9 > Banff (0.04)
- Europe > Germany > Hamburg (0.04)
- North America > United States > Pennsylvania (0.04)
- Europe > United Kingdom (0.04)
- Research Report > New Finding (1.00)
- Research Report > Experimental Study (1.00)
- Information Technology > Artificial Intelligence > Natural Language (1.00)
- Information Technology > Artificial Intelligence > Machine Learning > Neural Networks > Deep Learning (1.00)
- Information Technology > Artificial Intelligence > Representation & Reasoning (0.93)
- Information Technology > Artificial Intelligence > Machine Learning > Statistical Learning (0.93)
- North America > United States > Minnesota > Hennepin County > Minneapolis (0.14)
- Europe > Italy > Tuscany > Florence (0.04)
- Oceania > Australia > Victoria > Melbourne (0.04)
- North America > United States > California > Santa Clara County > Palo Alto (0.04)
- Information Technology > Artificial Intelligence > Representation & Reasoning (1.00)
- Information Technology > Artificial Intelligence > Natural Language > Large Language Model (1.00)
- Information Technology > Artificial Intelligence > Natural Language > Chatbot (1.00)
- Information Technology > Artificial Intelligence > Machine Learning > Neural Networks > Deep Learning (1.00)
- Information Technology > Sensing and Signal Processing > Image Processing (1.00)
- Information Technology > Artificial Intelligence > Machine Learning > Neural Networks (1.00)
- Information Technology > Artificial Intelligence > Vision > Face Recognition (0.93)
- Information Technology > Artificial Intelligence > Machine Learning > Statistical Learning (0.67)
- Asia > Middle East > Jordan (0.04)
- Oceania > Australia (0.04)
- North America > United States > California > Santa Clara County > Palo Alto (0.04)
- Asia > Japan > Honshū > Chūbu > Ishikawa Prefecture > Kanazawa (0.04)
- Research Report > Experimental Study (0.93)
- Research Report > New Finding (0.69)
- Europe > United Kingdom > England > Bristol (0.04)
- Asia > Japan > Honshū > Chūbu > Ishikawa Prefecture > Kanazawa (0.04)