Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle

Julien Guyon

Year of publication:	2024
Authors:	Guyon, Julien
Published in:	Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 1, p. 27-79
Subject:	Dispersion-constrained martingale Schrödinger problem \| Duality \| Joint S&P 500/VIX smile calibration \| Minimum entropy \| Optimal transport \| Schrödinger problem \| Sinkhorn algorithm \| Volatility modelling \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Martingal \| Martingale \| Mathematische Optimierung \| Mathematical programming \| Entropie \| Entropy \| Stochastischer Prozess \| Stochastic process \| Algorithmus \| Algorithm

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