arXiv q-fin· Antonio Marini·· 1 days agoAI Score30
Parallel Computation Method for Volatility Calibration under Marginal Constraints Based on the $q_x$-Bass Martingale
Mimicking Volatilities under Marginal Constraints via $q_x$-Bass Martingales: A Parallel Computing Approach
AI summary
This study addresses the calibration problem for continuous-time martingale models, using the $q_x$-Bass martingale to transform it into a discrete-time series problem, and proves that the continuous-time interpolation of the optimal solution to the discrete problem is asymptotically optimal. The numerical method for the discrete problem developed based on $q_x$-Bass martingale theory does not require calibrating the full marginal distribution of maturity dates.
Source:arXiv q-fin · arxiv.org