Calibration of local volatility models with stochastic interest rates using optimal transport
Crossref DOI link: https://doi.org/10.1007/s00780-026-00588-6
Published Online: 2026-02-23
Published Print: 2026-04
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Joseph, Benjamin
Loeper, Grégoire
Obłój, Jan
Text and Data Mining valid from 2026-02-23
Version of Record valid from 2026-02-23
Article History
Received: 11 August 2023
Accepted: 17 February 2025
First Online: 23 February 2026
Declarations
:
: The authors declare no competing interests.