Gaoyue Guo

Ecole Polytechnique, Paris

1 rue Descartes

Paris, 75005

France

SCHOLARLY PAPERS

2

DOWNLOADS

415

SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

Generalised Arbitrage-Free SVI Volatility Surfaces

Number of pages: 20 Posted: 27 Oct 2012 Last Revised: 28 May 2016
Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
Downloads 297 (131,174)
Citation 9

Abstract:

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SVI volatility surface, calendar spread arbitrage, butterfly arbitrage, static arbitrage

2.

Robust Hedging of Options on Local Time

Number of pages: 32 Posted: 22 Nov 2015
Independent, Ecole Polytechnique, Paris and Natixis - Paris, France
Downloads 118 (297,275)

Abstract:

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Skorokhod embedding, Model-free pricing, Robust hedging, Local time