A theoretical analysis of Guyon's toy volatility model

Ofelia Bonesini, Antoine Jacquier and Chloe Lacombe

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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.

Date: 2020-01, Revised 2022-11
New Economics Papers: this item is included in nep-fmk, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2001.05248

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