Volatility has to be rough

Masaaki Fukasawa

Quantitative Finance, 2021, vol. 21, issue 1, 1-8

Abstract: Under power-law blow-up of the short ATM skew, volatility must be rough in a viable market for the underlying asset

Date: 2021
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DOI: 10.1080/14697688.2020.1825781

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