A Theoretical Analysis of Guyon’s Toy Volatility Model
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon [30], 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.
Authors
- Antoine Jacquier (ORCID: https://orcid.org/0000-0003-3986-3201)
- Ofelia Bonesini (ORCID: https://orcid.org/0000-0001-9294-6079)
- Chloé Lacombe
Institutions
- Imperial College London (GB)
- London School of Economics and Political Science (GB)
Publication Details
- Journal
- SIAM Journal on Financial Mathematics
- Published
- 2025-04-17
- DOI
- https://doi.org/10.1137/22m1536339
- Primary Topic
- Financial Risk and Volatility Modeling
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- Engineering and Physical Sciences Research Council