6 papers
Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching
Atithi Acharya, Yue Sun, Brandon Augustino +3
We develop a global martingale optimal transport framework for joint S&P 500 (SPX)-VIX smile calibration across multiple maturities, without the conditional independence that Marko…
Beyond the Skew-Stickiness Ratio: Transport Geometry of Spot-Driven Variance Surface Dynamics
Charlie Che, Pradeepta Das
The dynamics of an implied volatility surface to movements of the underlying is classically described by separate rules: sticky strike, sticky delta and Bergomi's skew-stickiness r…
Faster Algorithms for Multimarginal Optimal Transport
Brandon Augustino, Yue Sun, Atithi Acharya +4
We study constructive discrete multimarginal optimal transport (MOT) among distributions on points, where the cost tensor has entries. For additive accuracy $\v…
SPX-VIX Risk Computations Via Perturbed Optimal Transport
Charlie Che, Hanxuan Lin, Yudong Yang +2
We propose a model independent framework for generating SPX and VIX risk scenarios based on a joint optimal transport calibration of their market smiles. Starting from the entropic…
Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
Charlie Che, Tongseok Lim, Yue Sun
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent p…
Quantum option pricing via the Karhunen-Loève expansion
Anupam Prakash, Yue Sun, Shouvanik Chakrabarti +8
We consider the problem of pricing discretely monitored Asian options over monitoring points where the underlying asset is modeled by a geometric Brownian motion. We provide tw…