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Quantitative Finance Volume 19, 2019 - Issue 5
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Research Papers

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

C. BayerWIAS Berlin, Berlin, GermanyView further author information
,
P. K. FrizWIAS Berlin, Berlin, Germany;TU Berlin, Berlin, GermanyCorrespondence[email protected]
[email protected]
View further author information
,
A. GulisashviliOhio University, Athens, USAView further author information
,
B. HorvathImperial College London, London, UKView further author information
&
B. StemperWIAS Berlin, Berlin, Germany;TU Berlin, Berlin, GermanyView further author information
Pages 779-798 | Received 22 Mar 2017, Accepted 07 Sep 2018, Published online: 13 Nov 2018

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