论文标题
使用神经SDE市场模型估算期权书籍的风险
Estimating risks of option books using neural-SDE market models
论文作者
论文摘要
在本文中，我们研究了无套利的神经SDE市场模型的能力，可以为单个基础上的多种欧洲选择的联合动态产生现实情况。随后，我们证明了它作为期权投资组合的风险模拟引擎的用途。通过进行回测分析，我们表明我们的模型在评估期权投资组合的价值风险（VAR）方面具有更高的计算高效和准确性，比标准过滤的历史仿真方法具有更好的覆盖范围性能和较少的准周期性。
In this paper, we examine the capacity of an arbitrage-free neural-SDE market model to produce realistic scenarios for the joint dynamics of multiple European options on a single underlying. We subsequently demonstrate its use as a risk simulation engine for option portfolios. Through backtesting analysis, we show that our models are more computationally efficient and accurate for evaluating the Value-at-Risk (VaR) of option portfolios, with better coverage performance and less procyclicality than standard filtered historical simulation approaches.
