---
title: A Correlated Random-level Volatility Model: Exact One-dimensional Pricing with Skew
url: https://www.ml-quant.com/papers/ssrn/7664360/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-30
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7664360
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7664360
featured: 2026-10-30
citations: unknown
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7664360
- Identifier: SSRN 7664360
- Released: 2026-10-28
- First featured: Quant Letter No. 137 (2026-10-30): https://www.ml-quant.com/issues/2026-10-30/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Suren Islyaev

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