Volatility is (mostly) path-dependent
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DOI: 10.1080/14697688.2023.2221281
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Cited by:
- Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org.
- repec:hal:journl:hal-03902513 is not listed on IDEAS
- Marcel Nutz & Andrés Riveros Valdevenito, 2024. "On the Guyon–Lekeufack volatility model," Finance and Stochastics, Springer, vol. 28(4), pages 1203-1223, October.
- Christian Bayer & Luca Pelizzari & John Schoenmakers, 2023. "Primal and dual optimal stopping with signatures," Papers 2312.03444, arXiv.org, revised Feb 2025.
- Herv'e Andr`es & Benjamin Jourdain, 2024. "Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels," Papers 2408.02477, arXiv.org.
- Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jan 2024.
- Ofelia Bonesini & Emilio Ferrucci & Ioannis Gasteratos & Antoine Jacquier, 2024. "Rough differential equations for volatility," Papers 2412.21192, arXiv.org.
- Wen, Conghua & Zhai, Jia & Wang, Yinuo & Cao, Yi, 2024. "Implied volatility is (almost) past-dependent: Linear vs non-linear models," International Review of Financial Analysis, Elsevier, vol. 95(PB).
- Guido Gazzani & Julien Guyon, 2024. "Pricing and calibration in the 4-factor path-dependent volatility model," Papers 2406.02319, arXiv.org, revised Feb 2025.
- repec:hal:cesptp:hal-03902513 is not listed on IDEAS
- Valentin Tissot-Daguette, 2023. "Occupied Processes: Going with the Flow," Papers 2311.07936, arXiv.org, revised Dec 2023.
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