BLUR DESK / OPTION STUDIO
MODEEUROPEAN
EXPIRY1.00 YR
VOLATILITY30%
MAX ERROR vs B-S—
ENGINESTARTING
PAYOFF AT EXPIRY
PRICE TODAY
DRAG TO ORBIT

01 / PAYOFF DRAW ↓

02 / BLUR KERNEL σ

VOL 30%WIDTH σ√T 0.300

03 / EXPIRY T

T 1.00 YRSLICES 12

04 / EXERCISE EUROPEAN

EXPIRY ONLY

05 / ERROR vs B-S LOG

S 40–160

06 / GPU MS PER CURVE

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07 / FAT TAILS LOG SCALE

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08 / SMILE IMPLIED VOL vs STRIKE · LIVE

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09 / BARRIER OFF

L — · U —PICK A BARRIER

10 / METHOD WEIGHTED MIRROR

AT S=100

11 / HALL OF MIRRORS —

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12 / WHOLE CHAIN SPY

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13 / MARKET ODDS MARKET-IMPLIED (RISK-NEUTRAL)

EDGE DETECTION: P(S ≤ K) = 1 + erT ∂C/∂K
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14 / TWO STOCKS —

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—GPU —
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15 / LOCAL VOL SPY · OCT 23 2026 · DUPIRE

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ROUND TRIP ON THE GPU, WORST OF THE STRIKES PRICED
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16 / DIFFUSION PRICING BLURS A PAYOFF · A DIFFUSION MODEL BLURS A DENSITY

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LIVE VS CLOSED FORMS, WORST OF BOTH BLURS
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STRIKE 100 · RATE 5% · BLACK-SCHOLES, PRICED BY A GAUSSIAN BLUR ON THE GPU (WEBGPU) GPU vs PYTHON CHECK →   BARRIER BENCHMARK →   CHAIN BENCHMARK →   TWO-STOCK BENCHMARK →