Short-time near-the-money skew in rough fractional volatility models (Q5234338)
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scientific article; zbMATH DE number 7110460
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short-time near-the-money skew in rough fractional volatility models |
scientific article; zbMATH DE number 7110460 |
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Short-time near-the-money skew in rough fractional volatility models (English)
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26 September 2019
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rough stochastic volatility model
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European option pricing
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small-time asymptotics
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moderate deviations
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