Received: 28 October 2019  Accepted: 11 July 2021
DOI: 10.1111/mafi.12335

ORIGINAL ARTICLE


Calibration of local-stochastic volatility models
by optimal transport
Ivan Guo1,2         Grégoire Loeper1,2            Shiyi Wang1
1School of Mathematics, Monash
University, Australia                 Abstract
2Centre for Quantitative Finance and         In this paper, we study a semi-martingale optimal trans-
Investment Strategies, Monash             port problem and its application to the calibration ...