{
  "abstract": "We study the calibration of continuous-time martingale models to observed derivative prices via a dynamic martingale optimal transport problem that penalizes deviations from the volatility of a prescribed reference model. Using $q_x$-Bass martingales, we approximate this problem through a sequence of discrete-time problems and prove that the continuous-time interpolations of their optimizers are asymptotically optimal. Building on the theory of $q_x$-Bass martingales, we develop numerical methods for the discrete-time problems that do not require full marginal distributions at calibration maturities.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.31825",
  "author_total": 1,
  "authors": [
    {
      "name": "Antonio Marini"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/0yyn9pzwxh1ym.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.31825",
  "fulltext_url": null,
  "id": "0yyn9pzwxh1ym",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.31825",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.PR"
    ],
    [
      "arxiv",
      "q-fin.MF"
    ],
    [
      "openalex",
      "2003|Stochastic processes and financial applications"
    ]
  ],
  "openalex": "W7223688104",
  "pdf_url": "https://arxiv.org/pdf/2610.31825",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-22",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/0yyn9pzwxh1ym.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:35:19Z",
      "native_id": "2610.31825",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.31825"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.PR",
      "subfield": "probability"
    }
  ],
  "title": "Mimicking Volatilities under Marginal Constraints via $q_x$-Bass Martingales: A Parallel Computing Approach",
  "title_text": "Mimicking Volatilities under Marginal Constraints via q_x-Bass Martingales: A Parallel Computing Approach",
  "type": "preprint",
  "updated_at": "2026-10-30T12:35:19Z",
  "url": "https://research.draconitic.com/paper/0yyn9pzwxh1ym",
  "venue": "arXiv",
  "versions": []
}