Path dependent optimal transport and model calibration on exotic derivatives
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Publication:2240848
DOI10.1214/20-AAP1617zbMath1479.60144arXiv1812.03526OpenAlexW3174558101MaRDI QIDQ2240848
Publication date: 4 November 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.03526
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal transportation (49Q22)
Related Items (5)
Optimal transportation, modelling and numerical simulation ⋮ Portfolio optimization with a prescribed terminal wealth distribution ⋮ Calibration of local‐stochastic volatility models by optimal transport ⋮ Interior second derivatives estimates for nonlinear diffusions ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport
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