Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle

Julien Guyon
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Julien Guyon: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées, MATHRISK - Mathematical Risk Handling - UPEM - Université Paris-Est Marne-la-Vallée - ENPC - École nationale des ponts et chaussées - Centre Inria de Paris - Inria - Institut National de Recherche en Informatique et en Automatique, Bloomberg L.P.

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Keywords: Schrödinger problem; Dispersion-constrained martingale Schrödinger problem; Optimal transport; Minimum entropy; Duality; Sinkhorn algorithm; Volatility modelling; Joint S&P 500/VIX smile calibration (search for similar items in EconPapers)
Date: 2023-11-17
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Published in Finance and Stochastics, 2023, 28 (1), pp.27-79. ⟨10.1007/s00780-023-00524-y⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04373379

DOI: 10.1007/s00780-023-00524-y

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