A theoretical analysis of Guyon's toy volatility model

Bonesini, Ofelia

; Jacquier, Antoine; and Lacombe, Chloé (2025) A theoretical analysis of Guyon's toy volatility model. SIAM Journal on Financial Mathematics, 16 (2). 271 - 309. ISSN 1945-497X

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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.

Item Type	Article
Keywords	path-dependent volatility,large deviations,boundary classification,ergodicity,implied volatility
Departments	Mathematics
DOI	10.1137/22m1536339
Date Deposited	18 Feb 2025 11:42
URI	https://researchonline.lse.ac.uk/id/eprint/127342

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http://www.scopus.com/inward/record.url?scp=105003748671&partnerID=8YFLogxK (Scopus publication)
10.1137/22m1536339 (DOI)

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