Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
Benjamin Joseph, Grégoire Loeper and Jan Obłój
| Year of publication: |
2024
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| Authors: | Joseph, Benjamin ; Loeper, Grégoire ; Obłój, Jan |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 11, p. 1597-1620
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| Subject: | Calibration of deterministic volatility | Continuous time models | Derivatives pricing | Model calibration | Stochastic interest rates | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Zins | Interest rate | Modellierung | Scientific modelling | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2398605 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196948