{"title":"建立无套利隐含波动率:Sinkhorn的算法和变体","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":"{\"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}","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}
Building Arbitrage-Free Implied Volatility: Sinkhorn's Algorithm and Variants
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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