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Short-time near-the-money skew in rough fractional volatility models

Citations

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Cited by:

  1. Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.
  2. Christian Bayer & Fabian Andsem Harang & Paolo Pigato, 2020. "Log-modulated rough stochastic volatility models," Papers 2008.03204, arXiv.org, revised May 2021.
  3. Changqing Teng & Guanglian Li, 2024. "Unsupervised Learning-based Calibration Scheme for Rough Volatility Models," Papers 2412.02135, arXiv.org, revised Jan 2026.
  4. Paul Hager & Eyal Neuman, 2020. "The Multiplicative Chaos of $H=0$ Fractional Brownian Fields," Papers 2008.01385, arXiv.org.
  5. Horvath, Blanka & Jacquier, Antoine & Muguruza, Aitor & Søjmark, Andreas, 2024. "Functional central limit theorems for rough volatility," LSE Research Online Documents on Economics 122848, London School of Economics and Political Science, LSE Library.
  6. Aur'elien Alfonsi & Ahmed Kebaier, 2021. "Approximation of Stochastic Volterra Equations with kernels of completely monotone type," Papers 2102.13505, arXiv.org, revised Mar 2022.
  7. Florian Aichinger & Sascha Desmettre, 2025. "Pricing of geometric Asian options in the Volterra-Heston model," Review of Derivatives Research, Springer, vol. 28(1), pages 1-30, April.
  8. Jacquier, Antoine & Pannier, Alexandre, 2022. "Large and moderate deviations for stochastic Volterra systems," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 142-187.
  9. Markus Bibinger, 2024. "Probabilistic models and statistics for electronic financial markets in the digital age," Papers 2406.07388, arXiv.org.
  10. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2022. "Short-dated smile under rough volatility: asymptotics and numerics," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 463-480, March.
  11. Stefan Gerhold & Christoph Gerstenecker & Archil Gulisashvili, 2020. "Large deviations for fractional volatility models with non-Gaussian volatility driver," Papers 2003.12825, arXiv.org.
  12. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Post-Print hal-02910724, HAL.
  13. Solesne Bourguin & Thanh Dang & Konstantinos Spiliopoulos, 2024. "Moderate Deviation Principle for Multiscale Systems Driven by Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 37(1), pages 352-408, March.
  14. Solesne Bourguin & Thanh Dang & Konstantinos Spiliopoulos, 2023. "Moderate Deviation Principle for Multiscale Systems Driven by Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-57, March.
  15. Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," Papers 2412.14353, arXiv.org, revised Feb 2026.
  16. Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023. "Local volatility under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
  17. Antonis Papapantoleon & Jasper Rou, 2024. "A time-stepping deep gradient flow method for option pricing in (rough) diffusion models," Papers 2403.00746, arXiv.org, revised Apr 2025.
  18. Carsten H. Chong & Viktor Todorov, 2022. "Short-time expansion of characteristic functions in a rough volatility setting with applications," Papers 2208.00830, arXiv.org, revised Nov 2024.
  19. Dugo, Ranieri & Giorgio, Giacomo & Pigato, Paolo, 2026. "The multivariate fractional Ornstein–Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 192(C).
  20. Giacomo Giorgio & Barbara Pacchiarotti & Paolo Pigato, 2023. "Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 30(3), pages 123-152, May.
  21. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Søjmark, 2024. "Functional central limit theorems for rough volatility," Finance and Stochastics, Springer, vol. 28(3), pages 615-661, July.
  22. Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "The Multivariate Fractional Ornstein-Uhlenbeck Process," CEIS Research Paper 581, Tor Vergata University, CEIS, revised 28 Aug 2024.
  23. Huy N. Chau & Duy Nguyen & Thai Nguyen, 2024. "On short-time behavior of implied volatility in a market model with indexes," Papers 2402.16509, arXiv.org, revised Mar 2025.
  24. Peter K. Friz & Thomas Wagenhofer, 2022. "Reconstructing Volatility: Pricing of Index Options under Rough Volatility," Papers 2212.07817, arXiv.org.
  25. Masaaki Fukasawa, 2020. "Volatility has to be rough," Papers 2002.09215, arXiv.org.
  26. Qinwen Zhu & Grégoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing," Mathematics, MDPI, vol. 9(5), pages 1-21, March.
  27. Gulisashvili, Archil, 2021. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Stochastic Processes and their Applications, Elsevier, vol. 139(C), pages 37-79.
  28. Gerhold, Stefan & Gerstenecker, Christoph & Gulisashvili, Archil, 2021. "Large deviations for fractional volatility models with non-Gaussian volatility driver," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 580-600.
  29. Yaroslav Eumenius-Schulz, 2020. "Spot estimation for fractional Ornstein–Uhlenbeck stochastic volatility model: consistency and central limit theorem," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 355-380, July.
  30. Dupret, Jean-Loup & Barbarin, Jérôme & Hainaut, Donatien, 2021. "Impact of rough stochastic volatility models on long-term life insurance pricing," LIDAM Discussion Papers ISBA 2021017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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