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- W3124808617 abstract "Classical (It^o diffusions) stochastic volatility models are not able to capture the steepness of small-maturity implied volatility smiles. Jumps, in particular exponential L'evy and affine models, which exhibit small-maturity exploding smiles, have historically been proposed to remedy this (see cite{Tank} for an overview), and more recently rough volatility models cite{AlosLeon, Fukasawa}. We suggest here a different route, randomising the Black-Scholes variance by a CEV-generated distribution, which allows us to modulate the rate of explosion (through the CEV exponent) of the implied volatility for small maturities. The range of rates includes behaviours similar to exponential L'evy models and fractional stochastic volatility models." @default.
- W3124808617 created "2021-02-01" @default.
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- W3124808617 date "2015-01-01" @default.
- W3124808617 modified "2023-09-27" @default.
- W3124808617 title "Black-Scholes in a CEV random environment" @default.
- W3124808617 hasPublicationYear "2015" @default.
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