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V. Lucic

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Preprint Sep 2026

Gatheral's Conjecture Revisited

We consider the Heston model with perfect negative spot--variance correlation and its one-dimensional local-volatility projection. Let $I_T^{\mathrm H}$ and $I_T^{\mathrm{LV}}$ denote their respective integrated variances over $[0,T]$. We establish the inequality \[ \mathbb{E}\bigl[(I_T^{\mathrm H}-K)^+\bigr]<\mathbb{E...

V. Lucic · 0 citations