Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal transport. The method relies on the duality results established in Joseph, Loeper, and Obłój, 2023 and jointly calibrates...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor & Francis
2024
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