Optimal transport for model calibration

Ivan Guo, Gregoire Loeper, Jan Obloj and Shiyi Wang

Papers from arXiv.org

Abstract: We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options, the joint VIX/SPX calibration problem as well as calibration to some path-dependent options. We explain the numerical algorithms and present examples both on synthetic and market data.

Date: 2021-07
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2107.01978

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