PIVOT: Bridging Black-Scholes Implied-Volatility and Price Objectives via Differentiable Jäckel Operator
Modern option-learning systems operate in two coordinates: price space, where markets quote and no-arbitrage constraints are most naturally enforced, and implied volatility (IV) space, where volatility surfaces are smoothed, regularized, and evaluated. The bottleneck is interface, not approximation: Jäckel's seminal "Let's Be Rational" (LBR) solver already inverts the Black-Scholes price to machine precision efficiently. What is missing is a differentiable layer that preserves LBR in the forward pass and avoids backpropagating through its branch logic. Such a layer must also confront the unavoidable singularity of the inverse map in the low-vega regime, where the sensitivity 1/vega diverg...
| Authors | Raeid Saqur, Yannick Limmer, Anastasis Kratsios et al. |
|---|---|
| Primary category | q-fin.CP |
| Published | 4 June 2026 |
| Last updated at source | 4 June 2026 |
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