Building Arbitrage-Free Implied Volatility: Sinkhorn's Algorithm and Variants.

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Authors
Publication date
2019
Publication type
Journal Article
Summary We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently used to solve efficiently (martingale) optimal transport problems.
Publisher
Elsevier BV
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