论文标题
在粗糙的波动下短暂的笑容：渐近和数字
Short dated smile under Rough Volatility: asymptotics and numerics
论文作者
论文摘要
在[适用于鲁棒随机波动率模型的精确渐近学中；安。应用。概率。 [2021]我们介绍了一种新方法，以使用框架[Bayer等人；粗糙波动的规律性结构；数学。鳍。 2020]。我们在这里调查了这种扩展在大偏差和中等偏差制度中的良好结构，以及对隐含波动性的后果。我们讨论与这些公式的实际应用相关的计算方面。我们将这种扩展专门用于原型的粗糙波动率示例，并讨论数值证据。
In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] 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.
