Add to ORKGWe provide a thorough analysis of the path-dependent volatility model introduced by Guyon \cite{G17}, proving existence and uniqueness of a strong solution, characterising its behaviour at boundary points, providing asymptotic closed-form option prices as well as deriving small-time behaviour estimates.Comment: 33 pages, 1 figur
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index retur...
In stochastic Volterra rough volatility models, the volatility follows a truncated Brownian semi-sta...
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature ...
Guyon and Lekeufack recently proposed a path-dependent volatility model and documented its excellent...
In this paper we examine and compare the performance of a variety of continuous- time volatility mod...
A good options pricing model should be able to fit the market volatility surface with high accuracy....
The authors are very grateful to financial support from the ESRC under the Grant RES-062-23-0311 (Fe...
We consider the stochastic volatility model obtained by adding a compound Hawkes process to the vola...
We consider a modelling setup where the VIX index dynamics are explicitly computable as a smooth tra...
We study here the large-time behaviour of all continuous affine stochastic volatility models (in the...
Introduced recently in mathematical finance by Bayer et al. (2016), the rough Bergomi model has prov...
This paper explores the fit of a stochastic volatility model, in which the Box-Cox transformation of...
This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility I...
The rBergomi model under the physical measure consists of modeling the log-variance as a truncated B...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index retur...
In stochastic Volterra rough volatility models, the volatility follows a truncated Brownian semi-sta...
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature ...
Guyon and Lekeufack recently proposed a path-dependent volatility model and documented its excellent...
In this paper we examine and compare the performance of a variety of continuous- time volatility mod...
A good options pricing model should be able to fit the market volatility surface with high accuracy....
The authors are very grateful to financial support from the ESRC under the Grant RES-062-23-0311 (Fe...
We consider the stochastic volatility model obtained by adding a compound Hawkes process to the vola...
We consider a modelling setup where the VIX index dynamics are explicitly computable as a smooth tra...
We study here the large-time behaviour of all continuous affine stochastic volatility models (in the...
Introduced recently in mathematical finance by Bayer et al. (2016), the rough Bergomi model has prov...
This paper explores the fit of a stochastic volatility model, in which the Box-Cox transformation of...
This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility I...
The rBergomi model under the physical measure consists of modeling the log-variance as a truncated B...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index retur...
In stochastic Volterra rough volatility models, the volatility follows a truncated Brownian semi-sta...