Volatility is (mostly) path-dependent
Julien Guyon and Jordan Lekeufack
| Year of publication: |
2023
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|---|---|
| Authors: | Guyon, Julien ; Lekeufack, Jordan |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 9, p. 1221-1258
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| 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 | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Pfadabhängigkeit | Path dependence |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2221281 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339908