Reconciling P- and Q-calibration with path-dependent volatility

A mixed approach designed to improve calibration robustness is presented CLICK HERE TO DOWNLOAD THE PDFJulien Guyon and Léo Parent study the consistency between P- and Q-calibration for a discrete-time version of the Guyon-Lekeufack volatility model with fat-tailed innovations. They show that the model estimated from price time series is globally consistent with option market data, which supports the hypothesis of high endogeneity of volatility and tends to reconcile P Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe You are currently unable to print this content. Please contact info@risk.net to find out more. You are currently unable to copy this content. Please contact info@risk.net to find out more. Copyright Infopro Digital Limited. All rights reserved.You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.If you would like to purchase additional rights please email info@risk.net Sorry, our subscription options are not loading right now Please try again later. Get in touch with our customer services team if this issue persists. New to Risk.net? View our subscription options If you already have an account, please sign in here. Most read articles loading... Back to Top