Author

Zi-Yuan Zhang

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Preprint Sep 2026

Neural Networks Learning the Radon--Nikodym Derivative: Empirical Option Pricing in Incomplete Markets

The identifiability of Q from option data is characterized and a measure that is identifiable from data yet prices any claim consistently is proposed, called XiNet, which is a single measure that absorbs available instruments and prices all claims consistently.

Zi-Yuan Zhang, Kiseop Lee · 0 citations