Volatility is (mostly) path-dependent (Q6053108)
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scientific article; zbMATH DE number 7742084
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility is (mostly) path-dependent |
scientific article; zbMATH DE number 7742084 |
Statements
Volatility is (mostly) path-dependent (English)
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25 September 2023
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volatility modeling
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path-dependent volatility
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endogeneity
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empirical PDV model
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4-factor Markovian PDV model
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joint S\&P 500/VIX smile calibration
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stochastic volatility
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spurious roughness
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