Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles (Q6929456)
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scientific article; zbMATH DE number 8094013
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| English | Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles |
scientific article; zbMATH DE number 8094013 |
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Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles (English)
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17 September 2025
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joint S\&P 500/VIX smile calibration
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Schrödinger bridge
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minimum-entropy
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stochastic volatility
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dispersion-constrained martingale Schrödinger bridge
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duality
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