no code implementations • 15 Jan 2020 • Ofelia Bonesini, Antoine Jacquier, Chloe Lacombe
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.
1 code implementation • 7 Mar 2019 • Chloe Lacombe, Aitor Muguruza, Henry Stone
We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle.
