From an analysis of the time series of volatility using recent high frequency data, Gatheral, Jaisson and Rosenbaum previously showed that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale. The resulting Rough...

We consider the three factor double mean reverting (DMR) model of Gatheral (2008), a model which can be successfully calibrated to both VIX options and SPX options simultaneously. One drawback of this model is that calibration may be slow because no closed form solution for European options...