Volatility is (mostly) path-dependent
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Publication:6053108
DOI10.1080/14697688.2023.2221281zbMath1522.91275OpenAlexW4384818182MaRDI QIDQ6053108
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
endogeneitystochastic volatilitypath-dependent volatilityvolatility modeling4-factor Markovian PDV modelempirical PDV modeljoint S\&P 500/VIX smile calibrationspurious roughness
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Cites Work
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