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

Christian Bayer, Peter K. Friz, Archil Gulisashvili, Blanka Horvath and Benjamin Stemper

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Abstract: We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H

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Date: 2017-03, Revised 2018-03
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Handle: RePEc:arx:papers:1703.05132