Abstract
The Bass local volatility model introduced by Backhoff-Veraguas--Beiglböck--Huesmann--Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities, that approximates the Dupire local volatility model. Conze and Henry-Labordère show that its calibration can be achieved by solving a fixed-point equation. In this paper we complement the analysis and show existence and uniqueness of the solution to this equation, and that the fixed-point iteration scheme converges at a linear rate.
Original language | English |
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DOIs | |
Publication status | Submitted - 2023 |