In this paper, we study a semi‐martingale optimal transport problem and its application to
the calibration of local‐stochastic volatility (LSV) models. Rather than considering the …

In this study, we develop a numerical method for the robust and accurate construction of a
local volatility (LV) surface using the generalized Black–Scholes (BS) equation from the …

We show how inter-asset dependence information derived from market prices of options can
lead to improved model-free price bounds for multi-asset derivatives. Depending on the type …

An intriguing question in martingale optimal transport is to characterize the martingale with
prescribed initial and terminal marginals whose transition kernel is as Gaussian as possible …

In this paper, we propose a robust and accurate numerical algorithm to reconstruct a local
volatility function using the Black–Scholes (BS) partial differential equation (PDE). Using the …

Various diffusion processes can be interpreted as gradient flows of certain energy
functionals with respect to quadratic Wasserstein metrics. Such processes are well studied …