Short-time near-the-money skew in rough fractional volatility models
C. Bayer, P.K. Friz, A. Gulisashvili, B. Horvath and B. Stemper
| Year of publication: |
2019
|
|---|---|
| Authors: | Bayer, Christian ; Friz, Peter K. ; Gulisashvili, Archil ; Horvath, Blanka Nora ; Stemper, Benjamin |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 5, p. 779-798
|
| Subject: | European option pricing | Moderate deviations | Rough stochastic volatility model | Small-time asymptotics | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1529420 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194716