10 citations · 35 across the 17 of their papers we have counts for
8 papers · 1 filter
Superhedging duality for multi-action options under model uncertainty with information delay
Anna Aksamit, Ivan Guo, Shidan Liu +1
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) act…
Optimal transport for model calibration
Ivan Guo, Gregoire Loeper, Jan Obloj +1
We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, v…
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
Kaustav Das, Ivan Guo, Grégoire Loeper
The price of a financial derivative can be expressed as an iterated conditional expectation, where the inner term conditions on the future of an auxiliary process. We show that thi…
Joint Modelling and Calibration of SPX and VIX by Optimal Transport
Ivan Guo, Gregoire Loeper, Jan Obloj +1
This paper addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport probl…
Valuation of contingent claims with short selling bans under an equal-risk pricing framework
Guiyuan Ma, Song-Ping Zhu, Ivan Guo
This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical…
Calibration of Local-Stochastic Volatility Models by Optimal Transport
Ivan Guo, Gregoire Loeper, Shiyi Wang
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the…
Local Volatility Calibration by Optimal Transport
Ivan Guo, Grégoire Loeper, Shiyi Wang
The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based…
Arbitrage Pricing of Multi-person Game Contingent Claims
Ivan Guo, Marek Rutkowski
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary num…