Calibration of local‐stochastic volatility models by optimal transport
| Year of publication: |
2021
|
|---|---|
| Authors: | Guo, Ivan ; Loeper, Grégoire ; Wang, Shiyi |
| Published in: |
Mathematical Finance. - Wiley, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2021, 1 (09.08.), p. 46-77
|
| Publisher: |
Wiley |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Other identifiers: | 10.1111/mafi.12335 [DOI] |
| Source: | Other ZBW resources |
Persistent link: https://www.econbiz.de/10012636243