Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport.
| Autor: | Joseph, Benjamin1 (AUTHOR) benjamin.joseph@maths.ox.ac.uk, Loeper, Grégoire2 (AUTHOR), Obłój, Jan3 (AUTHOR) |
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| Zdroj: | Quantitative Finance. Nov2024, Vol. 24 Issue 11, p1597-1620. 24p. |
| Databáze: | Business Source Ultimate |
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