Short-time at-the-money skew and rough fractional volatility
Author:
Affiliation:
1. Department of Mathematics, Osaka University, 1-1 Machikaneyama, Toyonaka, Osaka, Japan.
Funder
Japan Society for the Promotion of Science
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1197410
Reference24 articles.
1. Testing for jumps in a discretely observed process
2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
3. Computing the implied volatility in stochastic volatility models
4. Convergence of Probability Measures
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