Short-time near-the-money skew in rough fractional volatility models
Sign Up to like & getrecommendations! Published in 2018 at "Quantitative Finance"
DOI: 10.1080/14697688.2018.1529420
Abstract: We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the ‘rough’ regime of Hurst parameter . This regime recently attracted a lot of attention both from the statistical… read more here.
Keywords: time near; volatility; volatility models; money skew ... See more keywords