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hal.structure.identifierWeierstraß-Institut für Angewandte Analysis und Stochastik = Weierstrass Institute for Applied Analysis and Stochastics [Berlin] [WIAS]
dc.contributor.authorFriz, Peter K.
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorGassiat, Paul
hal.structure.identifierWeierstraß-Institut für Angewandte Analysis und Stochastik = Weierstrass Institute for Applied Analysis and Stochastics [Berlin] [WIAS]
dc.contributor.authorPigato, Paolo
HAL ID: 10891
dc.date.accessioned2021-11-29T15:04:12Z
dc.date.available2021-11-29T15:04:12Z
dc.date.issued2021
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22295
dc.language.isoenen
dc.subject.ddc519en
dc.titleShort dated smile under Rough Volatility: asymptotics and numericsen
dc.typeDocument de travail / Working paper
dc.description.abstractenIn [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2020] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices, using the framework [Bayer et al; A regularity structure for rough volatility; Math. Fin. 2020]. We investigate here the fine structure of this expansion in large deviations and moderate deviations regimes, together with consequences for implied volatility. We discuss computational aspects relevant for the practical application of these formulas. We specialize such expansions to prototypical rough volatility examples and discuss numerical evidence.en
dc.identifier.citationpages23en
dc.relation.ispartofseriestitleCahier de recherche du CEREMADEen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-03099744en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2021
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2021-11-29T15:01:31Z
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