Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - 2021
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 …