Building arbitrage-free implied volatility:Sinkhorn’s algorithm and variants
Hadrien De March and Pierre Henry-Labordère

arXiv:1902.04456 [q-fin.CP]

无套利隐含波动率曲面构造，2020年的论文，用martingale optimal transport算法，site [1902.04456] Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants (arxiv.org)
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[size=13.608px]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.
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