Optimal transport for model calibration
Mathematical Finance
2021-07-06 v1 Optimization and Control
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.
Cite
@article{arxiv.2107.01978,
title = {Optimal transport for model calibration},
author = {Ivan Guo and Gregoire Loeper and Jan Obloj and Shiyi Wang},
journal= {arXiv preprint arXiv:2107.01978},
year = {2021}
}
Comments
15 pages, 9 figures