Journal Articles Finance and Stochastics Year : 2023
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hal-04373379 , version 1 (05-01-2024)

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Julien Guyon. Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle. Finance and Stochastics, 2023, 28 (1), pp.27-79. ⟨10.1007/s00780-023-00524-y⟩. ⟨hal-04373379⟩
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