Calibration of local-stochastic volatility models by optimal transport
Ivan Guo, Grégoire Loeper, Shiyi Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Guo, Ivan ; Loeper, Grégoire ; Wang, Shiyi |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 1, p. 46-77
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| Subject: | calibration | duality theory | local-stochastic volatility | optimal transport | Volatilität | Volatility | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Transportproblem | Transportation problem | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12335 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012815947