Short-time near-the-money skew in rough fractional volatility models

DOI10.1080/14697688.2018.1529420zbMath1420.91445arXiv1703.05132OpenAlexW2601853346MaRDI QIDQ5234338

Benjamin Stemper, Archil Gulisashvili, Peter K. Friz, Blanka Horvath, Christian Bayer

Publication date: 26 September 2019

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

Full work available at URL: https://arxiv.org/abs/1703.05132

zbMATH Keywords

small-time asymptoticsmoderate deviationsEuropean option pricingrough stochastic volatility model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

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Uses Software

• DLMF

Cites Work

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