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What quant finance can learn from a 240-year-old problem

Published: January 10, 2022

Optimal transport theory offers a data-driven way to calibrate derivatives pricing models

Source: risk.net

Related Topics:

Ivan GouGaspard MongeJan OblojGregoire LoeperUniversity Of OxfordShiyi Wang At Monash UniversityShiyi WangMonash UniversityDerivatives PricingEuropean OptionsS Ampp 500Implied VolatilityTochastic Local Volatility Slv Model CalibrationOptimal Transport