Short-time at-the-money skew and rough fractional volatility (Q4555069)
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scientific article; zbMATH DE number 6981186
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short-time at-the-money skew and rough fractional volatility |
scientific article; zbMATH DE number 6981186 |
Statements
Short-time at-the-money skew and rough fractional volatility (English)
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19 November 2018
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Black-Scholes implied volatility
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volatility smile
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volatility skew
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small-time asymptotics
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asymptotic expansion
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fractional Brownian motion
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stochastic volatility model
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local volatility model
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rough fractional stochastic volatility model
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