Volatility is (mostly) path-dependent
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DOI: 10.1080/14697688.2023.2221281
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Citations
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Cited by:
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- Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jan 2024.
- Julien Guyon, 2024. "Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle," Finance and Stochastics, Springer, vol. 28(1), pages 27-79, January.
- Yufeng Shi & Bin Teng & Sicong Wang, 2025. "Option pricing mechanisms driven by backward stochastic differential equations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-19, December.
- Ofelia Bonesini & Emilio Ferrucci & Ioannis Gasteratos & Antoine Jacquier, 2024. "Rough differential equations for volatility," Papers 2412.21192, arXiv.org.
- Wen, Conghua & Zhai, Jia & Wang, Yinuo & Cao, Yi, 2024. "Implied volatility is (almost) past-dependent: Linear vs non-linear models," International Review of Financial Analysis, Elsevier, vol. 95(PB).
- Xiangdong Liu & Sicheng Fu & Shaopeng Hong, 2025. "Forecasting realized volatility in the stock market: a path-dependent perspective," Papers 2503.00851, arXiv.org.
- Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org.
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Post-Print hal-03902513, HAL.
- Guido Gazzani & Julien Guyon, 2024. "Pricing and calibration in the 4-factor path-dependent volatility model," Papers 2406.02319, arXiv.org, revised Feb 2025.
- Marcel Nutz & Andrés Riveros Valdevenito, 2024. "On the Guyon–Lekeufack volatility model," Finance and Stochastics, Springer, vol. 28(4), pages 1203-1223, October.
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03902513, HAL.
- Christian Bayer & Luca Pelizzari & John Schoenmakers, 2023. "Primal and dual optimal stopping with signatures," Papers 2312.03444, arXiv.org, revised Feb 2025.
- Eduardo Abi Jaber & Paul Gassiat & Dimitri Sotnikov, 2025. "Martingale property and moment explosions in signature volatility models," Papers 2503.17103, arXiv.org.
- Valentin Tissot-Daguette, 2023. "Occupied Processes: Going with the Flow," Papers 2311.07936, arXiv.org, revised Dec 2023.
- Herv'e Andr`es & Benjamin Jourdain, 2024. "Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels," Papers 2408.02477, arXiv.org.
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