Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589)
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scientific article; zbMATH DE number 7454671
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Joint Modeling and Calibration of SPX and VIX by Optimal Transport |
scientific article; zbMATH DE number 7454671 |
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Joint Modeling and Calibration of SPX and VIX by Optimal Transport (English)
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10 January 2022
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optimal transport
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calibration
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option prices
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stochastic volatility models
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Hamilton-Jacobi-Bellman equation
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duality in optimal control
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