Calibration of local-stochastic volatility models by optimal transport
Year of publication: |
2022
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Authors: | Guo, Ivan ; Loeper, Grégoire ; Wang, Shiyi |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 1, p. 46-77
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Subject: | calibration | duality theory | local-stochastic volatility | optimal transport | Mathematische Optimierung | Mathematical programming | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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