A Correlated Random-level Volatility Model: Exact One-dimensional Pricing with Skew
A six-parameter volatility model with one Gaussian factor prices European options exactly and captures implied-volatility skew better than SSVI or Heston, though short-maturity slopes remain too steep.
Featured in No. 137 on 30 Oct 2026 · 2 days after release
- Released
- 28 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7664360
- Authors
- Suren Islyaev
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).