Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516): Difference between revisions

Latest revision as of 09:13, 22 August 2024

scientific article; zbMATH DE number 7782838

Language	Label	Description	Also known as
English	Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle	scientific article; zbMATH DE number 7782838

Statements

instance of

scholarly article

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title

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

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author

Julien Guyon

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published in

Finance and Stochastics

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publication date

2 January 2024

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zbMATH Keywords

Schrödinger problem

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dispersion-constrained martingale Schrödinger problem

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optimal transport

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minimum entropy

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duality

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Sinkhorn algorithm

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volatility modelling

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joint S\&P 500/VIX smile calibration

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00780-023-00524-y

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cites work

Minimum-Relative-Entropy Calibration of Asset-Pricing Models

0 references

WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

0 references

Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

0 references

Model-independent bounds for option prices -- a mass transport approach

0 references

Q3457552

0 references

Duality Relationships for Entropy-Like Minimization Problems

0 references

Q5580053

0 references

Scaling algorithms for unbalanced optimal transport problems

0 references

Entropic regularization of continuous optimal transport problems

0 references

A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

0 references

I-divergence geometry of probability distributions and minimization problems

0 references

Exponential Hedging and Entropic Penalties

0 references

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

0 references

Q4391441

0 references

An optimal transport approach for the Schrödinger bridge problem and convergence of Sinkhorn algorithm

0 references

Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm

0 references

Traversing the Schrödinger bridge strait: Robert Fortet's marvelous proof redux

0 references

Q3810626

0 references

Entropy minimization and Schrödinger processes in infinite dimensions

0 references

Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options

0 references

The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

0 references

A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options

0 references

About the analogy between optimal transport and minimal entropy

0 references

Multi-marginal entropy-transport with repulsive cost

0 references

Regime-switching stochastic volatility model: estimation and calibration to VIX options

0 references

Computational methods for martingale optimal transport problems

0 references

Joint Modeling and Calibration of SPX and VIX by Optimal Transport

0 references

Bounds for VIX futures given S{\&}P 500 smiles

0 references

Inversion of convex ordering in the VIX market

0 references

The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

0 references

Volatility is (mostly) path-dependent

0 references

AUTOMATED OPTION PRICING: NUMERICAL METHODS

0 references

Model-Free Hedging

0 references

On VIX futures in the rough Bergomi model

0 references

The Extremal Convex Functions.

0 references

Minimization of energy functionals applied to some inverse problems

0 references

A survey of the Schrödinger problem and some of its connections with optimal transport

0 references

An example of indifference prices under exponential preferences

0 references

Martingale Schrödinger bridges and optimal semistatic portfolios

0 references

A regime-switching Heston model for VIX and S&P 500 implied volatilities

0 references

Convex duality in nonlinear optimal transport

0 references

Note on the Schrödinger equation and \(I\)-projections

0 references

Diagonal Equivalence to Matrices with Prescribed Row and Column Sums

0 references

On general minimax theorems

0 references

The Existence of Probability Measures with Given Marginals

0 references

Q4805362

0 references

Optimal Transport

0 references

Identifiers

zbMATH Open document ID

1530.91568

0 references

DOI

10.1007/s00780-023-00524-y

0 references

Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6181516

@@ Property / cites work @@
+Minimum-Relative-Entropy Calibration of Asset-Pricing Models
+Normal rank
@@ Property / cites work @@
+WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
+Normal rank
@@ Property / cites work @@
+Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
+Normal rank
@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
+Normal rank
@@ Property / cites work @@
+Q3457552
@@ Property / cites work: Q3457552 / rank @@
+Normal rank
@@ Property / cites work @@
+Duality Relationships for Entropy-Like Minimization Problems
+Normal rank
@@ Property / cites work @@
+Q5580053
@@ Property / cites work: Q5580053 / rank @@
+Normal rank
@@ Property / cites work @@
+Scaling algorithms for unbalanced optimal transport problems
+Normal rank
@@ Property / cites work @@
+Entropic regularization of continuous optimal transport problems
+Normal rank
@@ Property / cites work @@
+A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
+Normal rank
@@ Property / cites work @@
+I-divergence geometry of probability distributions and minimization problems
+Normal rank
@@ Property / cites work @@
+Exponential Hedging and Entropic Penalties
@@ Property / cites work: Exponential Hedging and Entropic Penalties / rank @@
+Normal rank
@@ Property / cites work @@
+Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+An optimal transport approach for the Schrödinger bridge problem and convergence of Sinkhorn algorithm
+Normal rank
@@ Property / cites work @@
+Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm
+Normal rank
@@ Property / cites work @@
+Traversing the Schrödinger bridge strait: Robert Fortet's marvelous proof redux
+Normal rank
@@ Property / cites work @@
+Q3810626
@@ Property / cites work: Q3810626 / rank @@
+Normal rank
@@ Property / cites work @@
+Entropy minimization and Schrödinger processes in infinite dimensions
+Normal rank
@@ Property / cites work @@
+Heston stochastic vol-of-vol model for joint calibration of VIX and S&amp;P 500 options
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
+Normal rank
@@ Property / cites work @@
+About the analogy between optimal transport and minimal entropy
+Normal rank
@@ Property / cites work @@
+Multi-marginal entropy-transport with repulsive cost
+Normal rank
@@ Property / cites work @@
+Regime-switching stochastic volatility model: estimation and calibration to VIX options
+Normal rank
@@ Property / cites work @@
+Computational methods for martingale optimal transport problems
+Normal rank
@@ Property / cites work @@
+Joint Modeling and Calibration of SPX and VIX by Optimal Transport
+Normal rank
@@ Property / cites work @@
+Bounds for VIX futures given S{\&}P 500 smiles
@@ Property / cites work: Bounds for VIX futures given S{\&}P 500 smiles / rank @@
+Normal rank
@@ Property / cites work @@
+Inversion of convex ordering in the VIX market
@@ Property / cites work: Inversion of convex ordering in the VIX market / rank @@
+Normal rank
@@ Property / cites work @@
+The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&amp;P 500 Skew
+Normal rank
@@ Property / cites work @@
+Volatility is (mostly) path-dependent
@@ Property / cites work: Volatility is (mostly) path-dependent / rank @@
+Normal rank
@@ Property / cites work @@
+AUTOMATED OPTION PRICING: NUMERICAL METHODS
@@ Property / cites work: AUTOMATED OPTION PRICING: NUMERICAL METHODS / rank @@
+Normal rank
@@ Property / cites work @@
+Model-Free Hedging
@@ Property / cites work: Model-Free Hedging / rank @@
+Normal rank
@@ Property / cites work @@
+On VIX futures in the rough Bergomi model
@@ Property / cites work: On VIX futures in the rough Bergomi model / rank @@
+Normal rank
@@ Property / cites work @@
+The Extremal Convex Functions.
@@ Property / cites work: The Extremal Convex Functions. / rank @@
+Normal rank
@@ Property / cites work @@
+Minimization of energy functionals applied to some inverse problems
+Normal rank
@@ Property / cites work @@
+A survey of the Schrödinger problem and some of its connections with optimal transport
+Normal rank
@@ Property / cites work @@
+An example of indifference prices under exponential preferences
+Normal rank
@@ Property / cites work @@
+Martingale Schrödinger bridges and optimal semistatic portfolios
+Normal rank
@@ Property / cites work @@
+A regime-switching Heston model for VIX and S&amp;P 500 implied volatilities
+Normal rank
@@ Property / cites work @@
+Convex duality in nonlinear optimal transport
@@ Property / cites work: Convex duality in nonlinear optimal transport / rank @@
+Normal rank
@@ Property / cites work @@
+Note on the Schrödinger equation and \(I\)-projections
+Normal rank
@@ Property / cites work @@
+Diagonal Equivalence to Matrices with Prescribed Row and Column Sums
+Normal rank
@@ Property / cites work @@
+On general minimax theorems
@@ Property / cites work: On general minimax theorems / rank @@
+Normal rank
@@ Property / cites work @@
+The Existence of Probability Measures with Given Marginals
+Normal rank
@@ Property / cites work @@
+Q4805362
@@ Property / cites work: Q4805362 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Transport
@@ Property / cites work: Optimal Transport / rank @@
+Normal rank