Log-Modulated Rough Stochastic Volatility Models

DOI10.1137/20M135902XzbMath1476.91196arXiv2008.03204OpenAlexW3202418606MaRDI QIDQ5162852

Fabian A. Harang, Christian Bayer, Paolo Pigato

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.03204

zbMATH Keywords

fractional Brownian motionstochastic volatilityrough volatility modelsrough Bergomi modelimplied skewlog Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

Short-dated smile under rough volatility: asymptotics and numerics ⋮ From rough to multifractal volatility: the log S-fBm model ⋮ Optimal stopping with signatures ⋮ Local volatility under rough volatility

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