Optimal transport for model calibration
An overview of continuous (semi-martingale) optimal transport for model calibration is given in this paper. Ivan Guo et al present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options and the joint VIX/SPX calibration problem as...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Risk.net
2022
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