Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
DOI10.1007/s00780-023-00524-yzbMath1530.91568OpenAlexW4388758994MaRDI QIDQ6181516
Publication date: 2 January 2024
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-023-00524-y
dualityoptimal transportminimum entropySchrödinger problemSinkhorn algorithmvolatility modellingjoint S\&P 500/VIX smile calibrationdispersion-constrained martingale Schrödinger problem
Martingales with discrete parameter (60G42) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Measures of information, entropy (94A17)
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