Short-dated smile under rough volatility : asymptotics and numerics
Year of publication: |
2022
|
---|---|
Authors: | Friz, Peter K. ; Gassiat, Paul ; Pigato, Paolo |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 3, p. 463-480
|
Subject: | European option pricing | Implied volatility | Karhunen-Loeve | Regularity structures | Rough paths | Rough volatility | Small-time asymptotics | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
-
Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian, (2019)
-
Singh, Vipul Kumar, (2015)
-
A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan, (2016)
- More ...
-
Local volatility under rough volatility
Bourgey, Florian, (2023)
-
A regularity structure for rough volatility
Bayer, Christian, (2019)
-
A regularity structure for rough volatility
Bayer, Christian, (2019)
- More ...