Advanced search
Publication Cover
Quantitative Finance Volume 22, 2022 - Issue 3
Submit an article Journal homepage
1,688
Views
3
CrossRef citations to date
0
Altmetric
Research Papers

Short-dated smile under rough volatility: asymptotics and numerics

Peter K. Friz† Technische Universität Berlin and Weierstraß-Institut Berlin, Berlin, GermanyCorrespondence[email protected]
View further author information
,
Paul Gassiat‡ Université Paris-Dauphine, PSL University, Paris Cedex 16, FranceView further author information
&
Paolo Pigato§ Department of Economics and Finance, University of Roma Tor Vergata, Roma, ItalyView further author information
Pages 463-480 | Received 27 Oct 2020, Accepted 15 Oct 2021, Published online: 07 Dec 2021

Citations (3)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Sigurd Emil Rømer. (2022) Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets. Quantitative Finance 22:10, pages 1805-1838.
Read now

Articles from other publishers (2)

Alexandre Richard, Xiaolu TanFan Yang. (2023) On the Discrete-Time Simulation of the Rough Heston Model. SIAM Journal on Financial Mathematics 14:1, pages 223-249.
Crossref
Carsten Chong & Viktor Todorov. (2022) Short-Time Expansion of Characteristic Functions in a Rough Volatility Setting With Applications. SSRN Electronic Journal.
Crossref

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.