Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series … and implied volatility smiles of SPX options. They are continuous-time stochastic volatility models, whose volatility … a semimartingale nor a Markov process, there is no unified method that not only applies to all rough volatility models …

a standard argument from large deviation theory …

Stochastic volatility models have grown in popularity in the past decade or two. However, for many stochastic … volatility models, the functional form of volatility along with the description of the diffusion process for volatility have been … improves and that a more general specification for the stock price and volatility processes may be necessary. This leads to an …

)), which have applications in mathematical biology and queueing theory. We propose a generic probabilistic method for deriving …

contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realised variance and realised … asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory which is applicable in … practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory …