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2017 MATRIX annals - MaRDI portal

2017 MATRIX annals (Q1755651)

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scientific article; zbMATH DE number 7075712
  • Local volatility calibration by optimal transport
Language Label Description Also known as
English
2017 MATRIX annals
scientific article; zbMATH DE number 7075712
  • Local volatility calibration by optimal transport

Statements

title
2017 MATRIX annals (English)
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Local volatility calibration by optimal transport (English)
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publication date
10 January 2019
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2 July 2019
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author
Ivan Guo
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Grégoire Loeper
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Shiyi Wang
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zbMATH Keywords
time continuous martingale optimal transport
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option pricing
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Identifiers

zbMATH Open document ID
1411.37003
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1422.91696
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Mathematics Subject Classification ID
37-06
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91-06
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49-06
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90-06
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62-06
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33-06
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00B25
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91G20
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60G44
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90C25
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zbMATH DE Number
6999975
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7075712
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OpenAlex ID
W2939251526
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W2760108316
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arXiv ID
1709.08075
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