Short-dated smile under rough volatility: asymptotics and numerics
From MaRDI portal
Publication:5072906
DOI10.1080/14697688.2021.1999486zbMath1487.91137arXiv2009.08814MaRDI QIDQ5072906
Peter K. Friz, Paul Gassiat, Paolo Pigato
Publication date: 5 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.08814
small-time asymptotics; implied volatility; rough paths; European option pricing; regularity structures; Karhunen-Loeve; rough volatility
91G20: Derivative securities (option pricing, hedging, etc.)
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