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
|
|---|---|
| Authors: | Joseph, Benjamin ; Loeper, Grégoire ; Obłój, Jan |
| 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 |
freely available
| 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