Reconciling P- and Q-calibration with path-dependent volatility
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A mixed approach designed to improve calibration robustness is presented
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Julien 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
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