{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,26]],"date-time":"2026-10-26T16:42:43Z","timestamp":1793032963042,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":51,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>An arbitrage-free set of option marginals fixes an underlying's local-volatility content, but not how its smile moves when the spot moves. Existing models are either parametric in the smile (stochastic volatility) or exact but expensive to calibrate (stochastic-local volatility). SANOS-Evolve keeps the two separate: a static SANOS linear program fixes strictly arbitrage-free marginals, and a dynamic layer fits a martingale two-timescale kernel between them, calibrated while the marginals stay fixed and arbitrage-free by construction (Strassen). Every object is a Gaussian mixture, so prices, Greeks, and the variance-index smile are closed-form. Translation invariance makes the skew-stickiness ratio an exact closed-form realised covariance whose term structure the two timescales fit, and identifies the vol-of-vol from a forward-variance readout-VIX for SPX, the strip's own curvature otherwise. One calibrated object yields the surface, exotics, and SSR-consistent hedges; on SPX the delta reproduces the industry Hull-White minimum-variance benchmark from the smile alone, with no trailing realised estimate.<\/jats:p>","DOI":"10.2139\/ssrn.7151258","type":"posted-content","created":{"date-parts":[[2026,8,3]],"date-time":"2026-08-03T12:40:57Z","timestamp":1785760857000},"source":"Crossref","is-referenced-by-count":0,"title":["SANOS-Evolve: A Discrete Stochastic-local-volatility Model for European-option Smile Dynamics&amp;nbsp;"],"prefix":"10.2139","author":[{"given":"Shaosai","family":"Huang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","author":"H Buehler","year":"2026","journal-title":"SANOS: Smooth strictly Arbitrage-free Non-parametric Option Surfaces"},{"issue":"1","key":"ref2","first-page":"18","article-title":"Pricing with a smile","volume":"7","author":"B 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