2 problems

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The density-jump conjecture for local variance gamma processes
Let $D$ be a driftless diffusion with piecewise continuous local variance coefficient $a$ , let $\Gamma$ be an independent unbiased gamma process, and define the subordinated proces…
Conjectureopenlocal-volatility option-pricing stochastic-processesarXiv posted 2 days ago
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The local-volatility minimum conjecture for options on realized variance
Let $S$ follow a continuous stochastic-volatility model and let $V_T=\langle\log S\rangle_T$ be its realized variance. Let $\tilde S$ be the corresponding local-volatility model ca…
Conjectureopenlocal-volatility stochastic-volatility variance-optionsarXiv posted 2 days ago

The density-jump conjecture for local variance gamma processes