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q-fin.MF2024
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
Eduardo Abi Jaber, Shaun, Li +1
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Schöbel-Zhu, one-factor B…
q-fin.MF2024
Volatility models in practice: Rough, Path-dependent or Markovian?
Eduardo Abi Jaber, Shaun, Li
We present an empirical study examining several claims related to option prices in rough volatility literature using SPX options data. Our results show that rough volatility models…