Short-time at-the-money skew and rough fractional volatility

DOI10.1080/14697688.2016.1197410zbMath1402.91777arXiv1501.06980OpenAlexW1502367340MaRDI QIDQ4555069

Masaaki Fukasawa

Publication date: 19 November 2018

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

Full work available at URL: https://arxiv.org/abs/1501.06980

zbMATH Keywords

small-time asymptoticsasymptotic expansionfractional Brownian motionvolatility smilestochastic volatility modellocal volatility modelBlack-Scholes implied volatilityvolatility skewrough fractional stochastic volatility model

Mathematics Subject Classification ID

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

Related Items (47)

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Option pricing under fast-varying and rough stochastic volatility ⋮ The closed-form option pricing formulas under the sub-fractional Poisson volatility models ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models ⋮ Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ Short-dated smile under rough volatility: asymptotics and numerics ⋮ American Options in the Volterra Heston Model ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ A rough SABR formula ⋮ The multiplicative chaos of \(H=0\) fractional Brownian fields ⋮ Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ On asymptotically arbitrage-free approximations of the implied volatility ⋮ Small-time moderate deviations for the randomised Heston model ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type ⋮ Asymptotics for Rough Stochastic Volatility Models ⋮ Optimal Hedging Under Fast-Varying Stochastic Volatility ⋮ Volatility Options in Rough Volatility Models ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ Local volatility under rough volatility ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Delta-hedging in fractional volatility models ⋮ Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility ⋮ Lifting the Heston model ⋮ Pathwise large deviations for the rough Bergomi model ⋮ Hybrid scheme for Brownian semistationary processes ⋮ A comparison principle between rough and non-rough Heston models—with applications to the volatility surface ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ Precise asymptotics: robust stochastic volatility models ⋮ Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint ⋮ Log-Modulated Rough Stochastic Volatility Models ⋮ The Randomized Heston Model ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ Extreme at-the-money skew in a local volatility model ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ Short-time near-the-money skew in rough fractional volatility models ⋮ On the Harmonic Mean Representation of the Implied Volatility ⋮ Buy rough, sell smooth ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models ⋮ Invariant measures for multidimensional fractional stochastic volatility models ⋮ REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS ⋮ Volatility has to be rough ⋮ Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime ⋮ Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Selected aspects of fractional Brownian motion.
• Asymptotic analysis for stochastic volatility: martingale expansion
• Asymptotic analysis for stochastic volatility: Edgeworth expansion
• Testing for jumps in a discretely observed process
• On validity of the asymptotic expansion approach in contingent claim analysis
• Maturity cycles in implied volatility
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
• Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
• Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion
• Asymptotics for Rough Stochastic Volatility Models
• Computing the implied volatility in stochastic volatility models
• Analysis, Geometry, and Modeling in Finance
• Asymptotic Behavior of the Fractional Heston Model
• Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
• Multiscale Stochastic Volatility Asymptotics
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process

This page was built for publication: Short-time at-the-money skew and rough fractional volatility