Volatility is rough

DOI10.1080/14697688.2017.1393551zbMath1400.91590arXiv1410.3394OpenAlexW3124875579MaRDI QIDQ4554473

Thibault Jaisson, Mathieu Rosenbaum, Jim Gatheral

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.3394

zbMATH Keywords

fractional Brownian motionoption pricinglong memoryvolatility persistencehigh frequency datavolatility forecastingvolatility surfacefractional Ornstein-Uhlenbeckvolatility smoothness

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• longmemo
• YUIMA

Cites Work

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