Pith. sign in

REVIEW 4 cited by

Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants

Not yet reviewed by Pith; the record is open.

Re-run · record.json Download PDF Read on arXiv ↗

This paper has not been read by Pith yet. Machine review is queued; the pith claim, tier, and objections will appear here once it completes.

SPECIMEN: schema-true, not a live event

T0 review · schema-true

One-sentence machine reading of the paper's core claim.

pith:XXXXXXXX · record.json · timestamp

arxiv 1902.04456 v3 pith:ENLM6ZNZ submitted 2019-02-12 q-fin.CP

Hadrien De March (ECOLE POLYTECHNIQUE , QANTEV) , Pierre Henry-Labordere (SOCIETE GENERALE) This is my paper · ORCID
classification q-fin.CP
keywords algorithmarbitrage-freebuildingimpliedsinkhornvolatilitybeenbid-ask
verification ladder T0 review T1 audit T2 compute T3 formal

Signed reviews

No signed human review yet.

0 comments
read the original abstract

We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently used to solve efficiently (martingale) optimal transport problems.

Discussion (0). Continue with ORCID to comment.

Forward citations

Cited by 4 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Sample complexity of Schr\"odinger potential estimation

    cs.LG 2025-06 conditional novelty 7.0 of 10

    An empirical KL minimizer over log-potentials estimates Schrödinger bridge potentials with terminal excess KL risk O(log^2 n / n) in the realizable case, even when the target distribution has unbounded support.

  2. Multidimensional specific relative entropy between continuous martingales

    math.PR 2024-11 conditional novelty 7.0 of 10

    A multidimensional version of specific relative entropy between continuous martingales is defined, with Gantert's inequality extended and shown to be the convex lower semicontinuous envelope of the entropy.

  3. Arbitrage-Free Multi-Maturity Risk-Neutral Marginals

    q-fin.CP 2026-07 accept novelty 6.0 of 10

    An explicit piecewise-constant-curvature construction with power-law tails converts discrete arbitrage-free call prices into full risk-neutral marginal laws that exactly reprice inputs and are free of butterfly and ca...

  4. Markov-Functional Models with Local Drift

    q-fin.CP 2024-11 conditional novelty 6.0 of 10

    A Markov-functional construction with a level-dependent drift on a flow variable calibrates time-homogeneous or continuous local volatility models to a discrete set of marginals.

Pith tools