Optimal Transport for Model Calibration

Ivan Guo, G. Loeper, J. Obłój, Shiyi Wang
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引用次数: 2

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.
模型校准的最佳运输
本文综述了用最优传输法标定模型的最新成果。给出了一般框架,然后讨论了局部和局部随机波动率模型对欧式期权的校准,VIX/SPX联合校准问题以及对一些路径相关期权的校准。我们解释了数值算法,并给出了合成数据和市场数据的例子。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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