Short-time at-the-money skew and rough fractional volatility
DOI10.1080/14697688.2016.1197410zbMath1402.91777arXiv1501.06980OpenAlexW1502367340MaRDI QIDQ4555069
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
small-time asymptoticsasymptotic expansionfractional Brownian motionvolatility smilestochastic volatility modellocal volatility modelBlack-Scholes implied volatilityvolatility skewrough fractional stochastic volatility model
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (47)
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