{"title":"Building Arbitrage-Free Implied Volatility: Sinkhorn's Algorithm and Variants","authors":"Hadrien De March, P. Henry-Labordère","doi":"10.2139/ssrn.3326486","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"10 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"10","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Corporate Governance: Disclosure","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3326486","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 10
Abstract
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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