On the Guyon–Lekeufack volatility model
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DOI: 10.1007/s00780-024-00544-2
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References listed on IDEAS
- Julien Guyon & Jordan Lekeufack, 2023. "Volatility is (mostly) path-dependent," Post-Print hal-04373380, HAL.
- Paolo Foschi & Andrea Pascucci, 2008.
"Path dependent volatility,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.
- Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany.
- Julien Guyon & Jordan Lekeufack, 2023. "Volatility is (mostly) path-dependent," Quantitative Finance, Taylor & Francis Journals, vol. 23(9), pages 1221-1258, September.
- Gilles Zumbach, 2010. "Volatility conditional on price trends," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 431-442.
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More about this item
Keywords
Path-dependent volatility model; SDE; Wellposedness; Explosion;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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