Linking Path-Dependent and Stochastic Volatility Models

Samuel N. Cohen and Cephas Svosve

Papers from arXiv.org

Abstract: We explore a link between stochastic volatility (SV) and path-dependent volatility (PDV) models. Using assumed density filtering, we map a given SV model into a corresponding PDV representation. The resulting specification is lightweight, improves in-sample fit, and delivers robust out-of-sample forecasts. We also introduce a calibration procedure for both SV and PDV models that produces standard errors for parameter estimates and supports joint calibration of SPX/VIX smile.

Date: 2025-10
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2510.02024 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2510.02024

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().