5 citations · 9 across the 10 of their papers we have counts for
3 papers · 1 filter
Volatility options in rough volatility models
Blanka Horvath, Antoine Jacquier, Peter Tankov
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computin…
Short-time near-the-money skew in rough fractional volatility models
Christian Bayer, Peter K. Friz, Archil Gulisashvili +2
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter . This regime recentl…
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As a…