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arXiv · 2510.10860

Martingale Optimal Transport and Martingale Schr\"odinger Bridges for Calibration of Stochastic Volatility Models

Antonios Zitridis
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Abstract

Motivated by recent developments in the calibration of stochastic volatility models (SVMs for short), we study continuous-time formulations of martingale optimal transport and martingale Schr\"odinger bridge problems. We establish duality formulas and also provide alternative proofs, via different techniques, of duality results previously established in the mathematical finance literature. Applications include calibration of SVMs to SPX options, as well as joint calibration to both SPX and VIX options.

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Antonios Zitridis. 2025-10-12. Martingale Optimal Transport and Martingale Schr\"odinger Bridges for Calibration of Stochastic Volatility Models. https://arxiv.org/abs/2510.10860

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