activity
20202026
most citedRough volatility, path-dependent PDEs and weak rates of convergence

6 citations · 7 across the 10 of their papers we have counts for

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q-fin.PR2020

A theoretical analysis of Guyon's toy volatility model

Ofelia Bonesini, Antoine Jacquier, Chloe Lacombe

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 beha…