Short-dated smile under rough volatility: asymptotics and numerics

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

zbMATH Keywords

small-time asymptotics; implied volatility; rough paths; European option pricing; regularity structures; Karhunen-Loeve; rough volatility

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets, On the Discrete-Time Simulation of the Rough Heston Model, Approximation of Stochastic Volterra Equations with kernels of completely monotone type, Local volatility under rough volatility

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