Joint modelling and calibration of SPX and VIX by optimal transport
This paper addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport problem under a finite number of discrete constraints, in the spirit of [Guo, Loeper, and Wang, Math. Finance, 32 (2021)]. We...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2022
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