Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516): Difference between revisions
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Revision as of 08:52, 30 July 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
Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (English)
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2 January 2024
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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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