Volatility is (mostly) path-dependent
Year of publication: |
2023
|
---|---|
Authors: | Guyon, Julien ; Lekeufack, Jordan |
Subject: | 4-factor Markovian PDV model | Empirical PDV model | Endogeneity | Joint S&P 500/VIX smile calibration | Path-dependent volatility | Spurious roughness | Stochastic volatility | Volatility modeling | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | ARCH-Modell | ARCH model |
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