Florian Bourgey

Bloomberg LP

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Fast Exact Joint S&P 500/VIX Smile Calibration in Discrete and Continuous Time

Number of pages: 19 Posted: 30 Dec 2022 Last Revised: 06 Feb 2024
Julien Guyon and Florian Bourgey
Ecole des Ponts ParisTech and Bloomberg LP
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Abstract:

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joint S&P 500/VIX smile calibration, Newton-Sinkhorn, implied Newton, martingale interpolation, martingale optimal transport