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- W4300449975 abstract "First, we give an asymptotic expansion of short-dated at-the-money implied volatility that refines the preceding works and proves in particular that non-rough volatility models are inconsistent to a power law of volatility skew. Second, we show that given a power law of volatility skew in an option market, a continuous price dynamics of the underlying asset with non-rough volatility admits an arbitrage opportunity. The volatility therefore has to be rough in a viable market of the underlying asset of which the volatility skew obeys a power law." @default.
- W4300449975 created "2022-10-03" @default.
- W4300449975 creator A5006305714 @default.
- W4300449975 date "2020-02-21" @default.
- W4300449975 modified "2023-09-25" @default.
- W4300449975 title "Volatility has to be rough" @default.
- W4300449975 doi "https://doi.org/10.48550/arxiv.2002.09215" @default.
- W4300449975 hasPublicationYear "2020" @default.
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