Calibration of local‐stochastic volatility models by optimal transport
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Publication:6054403
DOI10.1111/mafi.12335zbMath1522.91274arXiv1906.06478OpenAlexW3189671765MaRDI QIDQ6054403
Grégoire Loeper, Ivan Guo, Shiyi Wang
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.06478
Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Martingales and classical analysis (60G46) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (4)
MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space ⋮ Optimal control of diffusion processes with terminal constraint in law ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
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