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q-fin.CP2024
Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels
Hervé Andrès, Benjamin Jourdain
We show the existence and uniqueness of a continuous solution to a path-dependent volatility model introduced by Guyon and Lekeufack (2023) to model the price of an equity index an…
q-fin.CP2023★ 3 cited
The implied volatility surface (also) is path-dependent
Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
We propose a new model for the forecasting of both the implied volatility surfaces and the underlying asset price. In the spirit of Guyon and Lekeufack (2023) who are interested in…