Antonio Marini publishes new paper on volatility calibration based on q_x-Bass martingales
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Antonio Marini published a new quantitative finance paper proposing a parallel computation method for volatility fitting under marginal constraints based on q_x-Bass martingales. This study addresses the calibration problem of continuous-time martingale models, using q_x-Bass martingales 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 this theory does not require calibrating the full marginal distribution of maturity dates.
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- arXiv q-finParallel Computation Method for Volatility Calibration under Marginal Constraints Based on the $q_x$-Bass Martingale
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.
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