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We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes.
The existence of probability measures with given marginals
Volker Strassen · 1965
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Concerning nonnegative matrices and doubly stochastic matrices
Richard Sinkhorn and Paul Knopp · 1967
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Pricing and hedging with smiles
Bruno Dupire · 1997
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Minimum entropy calibration of asset pricing models, internat
M Avellaneda · 1998
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Weighted monte carlo: a new technique for calibrating asset-pricing models
Marco Avellaneda, Robert Buff, Craig Friedman, Nicolas Grandechamp, Lukasz Kruk, and Joshua Newman · 2001
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Masterclass with deutsche bank. the vol smile problem
Alexander Lipton · 2002
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A note on sufficient conditions for no arbitrage
Peter Carr and Dilip B Madan · 2005
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Conditions on option prices for absence of arbitrage and exact calibration
Laurent Cousot · 2007
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Analysis, geometry, and modeling in finance: Advanced methods in option pricing
Pierre Henry-Labordère · 2008
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Calibration of local stochastic volatility models to market smiles: A monte-carlo approach
Pierre Henry-Labordere · 2009
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On the convergence of block coordinate descent type methods
Amir Beck and Luba Tetruashvili · 2013
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Sinkhorn distances: Lightspeed computation of optimal transport
Arbitrage-free svi volatility surfaces
Jim Gatheral and Antoine Jacquier · 2014
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Iterative bregman projections for regularized transportation problems
Jean-David Benamou, Guillaume Carlier, Marco Cuturi, Luca Nenna, and Gabriel Peyré · 2015
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Large deviations and asymptotic methods in finance
Peter K Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, and Josef Teichmann · 2015
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Stabilized sparse scaling algorithms for entropy regularized transport problems
Bernhard Schmitzer · 2016
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Computational methods for martingale optimal transport problems
Gaoyue Guo and Jan Obloj · 2017
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Marco Cuturi · 2013
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An explicit martingale version of brenier’s theorem
Pierre Henry-Labordere and Nizar Touzi · 2013
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Optimal skorokhod embedding given full marginals and azéma–yor peacocks
Sigrid Källblad, Xiaolu Tan, Nizar Touzi, et al · 2017
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Computational optimal transport
Gabriel Peyré, Marco Cuturi, et al · 2017
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Entropic resolution for multi-dimensional optimal transport
Hadrien De March · 2018
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