论文标题
Guyon玩具波动模型的理论分析
A theoretical analysis of Guyon's toy volatility model
论文作者
论文摘要
我们对Guyon \ cite {G17}引入的路径依赖性波动率模型进行了彻底的分析，证明了强大解决方案的存在和独特性，表征了其在边界点的行为，提供了渐近的封闭形式期权价格以及得出小型行为估计。
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon \cite{G17}, 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.
