most citedPricing and calibration in the 4-factor path-dependent volatility model

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q-fin.CP2024★ 2 cited

Pricing and calibration in the 4-factor path-dependent volatility model

Guido Gazzani, Julien Guyon

We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023), where the instantaneous volatility is a linear combination of a weighted sum of past returns an…