/VolatilityIsMostlyPathDependent

Code for the paper Volatility is (mostly) path-dependent

Primary LanguageJupyter Notebook

Volatility is (Mostly) Path Dependent

Code for the paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4174589.

This code contains the functions to:

  • Perform the fitting of one model on historical price (see empirical_study.ipynb). We show one example on SPX and VIX from Yahoo! Finance data.
  • Compute a SPX or VIX vanilla call price using our 4-factor markovian PDV model (see option_pricing_4fmpdv.ipynb)

For any question regarding the code, contact me via email at jordan dot lekeufack at berkeley dot edu.