Short-time near-the-money skew in rough fractional volatility models
Author:
Affiliation:
1. WIAS Berlin, Berlin, Germany
2. TU Berlin, Berlin, Germany
3. Ohio University, Athens, USA
4. Imperial College London, London, UK
Funder
DFG
European Research Council
SNF Early Postdoc Mobility
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1529420
Reference28 articles.
1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
2. Pricing under rough volatility
3. Methods de laplace et de la phase stationnaire sur l'espace de wiener
4. Hybrid scheme for Brownian semistationary processes
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