English

A Risk-Neutral Neural Operator for Arbitrage-Free SPX-VIX Term Structures

Machine Learning 2025-11-11 v1 Computational Finance

Abstract

We propose ARBITER, a risk-neutral neural operator for learning joint SPX-VIX term structures under no-arbitrage constraints. ARBITER maps market states to an operator that outputs implied volatility and variance curves while enforcing static arbitrage (calendar, vertical, butterfly), Lipschitz bounds, and monotonicity. The model couples operator learning with constrained decoders and is trained with extragradient-style updates plus projection. We introduce evaluation metrics for derivatives term structures (NAS, CNAS, NI, Dual-Gap, Stability Rate) and show gains over Fourier Neural Operator, DeepONet, and state-space sequence models on historical SPX and VIX data. Ablation studies indicate that tying the SPX and VIX legs reduces Dual-Gap and improves NI, Lipschitz projection stabilizes calibration, and selective state updates improve long-horizon generalization. We provide identifiability and approximation results and describe practical recipes for arbitrage-free interpolation and extrapolation across maturities and strikes.

Cite

@article{arxiv.2511.06451,
  title  = {A Risk-Neutral Neural Operator for Arbitrage-Free SPX-VIX Term Structures},
  author = {Jian'an Zhang},
  journal= {arXiv preprint arXiv:2511.06451},
  year   = {2025}
}

Comments

46 pages, 9 figures, includes appendices; v11 draft aligned with final outline

R2 v1 2026-07-01T07:28:27.731Z