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Author

M. Beiglböck

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Preprint Sep 2026

Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models

European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications. The Bass martingale construction selects, among all calibrated martingales, the one closest to Bachelier dynamics; it permits fast calibration at discrete maturitie...

M. Beiglböck, Manuel Hasenbichler, G. Pammer · 0 citations
Preprint Sep 2026

Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models

European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications. The Bass martingale construction selects, among all calibrated martingales, the one closest to Bachelier dynamics; it permits fast calibration at discrete maturitie...

M. Beiglböck, Manuel Hasenbichler, G. Pammer · 0 citations

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