On the Guyon-Lekeufack volatility model

DOI10.1007/s00780-024-00544-2MaRDI QIDQ6619593

Andrés Riveros Valdevenito, Marcel Nutz

Publication date: 16 October 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

wellposednessexplosionSDEpath-dependent volatility model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Path dependent volatility
• The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
• Asset price bubbles: invariance theorems
• Volatility conditional on price trends
• Complete Models with Stochastic Volatility
• Complications with stochastic volatility models
• Volatility is (mostly) path-dependent

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