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Volatility is (mostly) path-dependent - MaRDI portal

Volatility is (mostly) path-dependent (Q6053108)

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scientific article; zbMATH DE number 7742084
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Volatility is (mostly) path-dependent
scientific article; zbMATH DE number 7742084

    Statements

    title
    Volatility is (mostly) path-dependent (English)
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    author
    Julien Guyon
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    Q6053107
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    publication date
    25 September 2023
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    zbMATH Keywords
    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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    cites work
    Q3457552
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    Volatility is rough
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    The EWMA Heston model
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    Quadratic ARCH Models
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    Identifiers

    zbMATH DE Number
    7742084
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    OpenAlex ID
    W4384818182
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