A theoretical analysis of Guyon's toy volatility model
Bonesini, O.
, Jacquier, A. & Lacombe, C.
(2025).
A theoretical analysis of Guyon's toy volatility model.
SIAM Journal on Financial Mathematics,
16(2), 271 - 309.
https://doi.org/10.1137/22m1536339
, Jacquier, A. & Lacombe, C.
(2025).
A theoretical analysis of Guyon's toy volatility model.
SIAM Journal on Financial Mathematics,
16(2), 271 - 309.
https://doi.org/10.1137/22m1536339
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.
