A Theoretical Analysis of Guyon's Toy Volatility Model

We provide a thorough analysis of the path-dependent volatility model introduced by Guyon 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

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Year of publication:	2022
Authors:	Bonesini, Ofelia ; Jacquier, Antoine (Jack) ; Lacombe, Chloe
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Theorie \| Theory \| Spielwaren \| Toys \| Spielwarenbranche \| Toy industry \| ARCH-Modell \| ARCH model

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Extent:	1 Online-Ressource (33 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 9, 2022 erstellt
Other identifiers:	10.2139/ssrn.4273294 [DOI]
Classification:	C02 - Mathematical Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014240958