Volatility of volatility is (also) rough
- 15 January 2019
- journal article
- research article
- Published by Wiley in Journal of Futures Markets
- Vol. 39 (5), 600-611
- https://doi.org/10.1002/fut.21995
Abstract
No abstract availableKeywords
This publication has 8 references indexed in Scilit:
- Rough volatility: Evidence from option pricesIISE Transactions, 2018
- Volatility is roughQuantitative Finance, 2017
- Decoupling the Short- and Long-Term Behavior of Stochastic VolatilitySSRN Electronic Journal, 2016
- The effects of asymmetric volatility and jumps on the pricing of VIX derivativesJournal of Econometrics, 2016
- Affine fractional stochastic volatility modelsAnnals of Finance, 2010
- The Valuation of Volatility OptionsEuropean Finance Review, 2000
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- Fractional Brownian Motions, Fractional Noises and ApplicationsSIAM Review, 1968