A theoretical analysis of Guyon's toy volatility model
2020-01-15Unverified0· sign in to hype
Ofelia Bonesini, Antoine Jacquier, Chloe Lacombe
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ReproduceAbstract
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon G17, proving existence and uniqueness of a strong solution, characterising its behaviour at boundary points, providing asymptotic closed-form option prices as well as deriving small-time behaviour estimates.