A theoretical analysis of Guyon's toy volatility model

Bonesini, Ofelia, Jacquier, Antoine and Lacombe, Chloé (2025) A theoretical analysis of Guyon's toy volatility model. SIAM Journal on Financial Mathematics, 16 (2). 271 - 309. ISSN 1945-497X

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Abstract

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.

Item Type:	Article
Additional Information:	© 2025 The Author(s)
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics H Social Sciences > HG Finance
Date Deposited:	18 Feb 2025 11:42
Last Modified:	26 Sep 2025 20:42
URI:	http://eprintstest.lse.ac.uk/id/eprint/127342

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