Supporting data for “LAGUERRE PATH-DEPENDENT VOLATILITY MODEL"

This is the dataset that is synthesized to conduct the numerical experiment of model calibration and option pricing using the proposed LPDV model and the benchmark model in the study. The methodology for the synthesis of this dataset is outlined in the study.

Asset prices can be obtained directly from the field S_t. Local volatility surfaces can be recovered from the field state according to the model parameters given in the study. Both the LPDV model and the benchmark model are then calibrated to the asset prices and the local volatilities surfaces. The calibrated models are then used to produce option prices of selected option payoffs for discussions.