Calibration of local‐stochastic volatility models by optimal transport (Q6054403)
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scientific article; zbMATH DE number 7743059
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of local‐stochastic volatility models by optimal transport |
scientific article; zbMATH DE number 7743059 |
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Calibration of local‐stochastic volatility models by optimal transport (English)
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28 September 2023
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optimal transport
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duality theory
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local-stochastic volatility
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calibration
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