A theoretical analysis of Guyon's toy volatility model
Pricing of Securities
2022-11-10 v2
Abstract
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon \cite{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.
Cite
@article{arxiv.2001.05248,
title = {A theoretical analysis of Guyon's toy volatility model},
author = {Ofelia Bonesini and Antoine Jacquier and Chloe Lacombe},
journal= {arXiv preprint arXiv:2001.05248},
year = {2022}
}
Comments
33 pages, 1 figure