Volatility is (mostly) path-dependent

DOI10.1080/14697688.2023.2221281zbMath1522.91275OpenAlexW4384818182MaRDI QIDQ6053108

Unnamed Author, Julien Guyon

Publication date: 25 September 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2221281

zbMATH Keywords

endogeneitystochastic volatilitypath-dependent volatilityvolatility modeling4-factor Markovian PDV modelempirical PDV modeljoint S\&P 500/VIX smile calibrationspurious roughness

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle

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