dc.date.accessioned | 2022-03-13T17:44:02Z | |
dc.date.available | 2022-03-13T17:44:02Z | |
dc.date.created | 2020-08-10T10:19:43Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Bayer, Christian Harang, Fabian Andsem Pigato, Paolo . Log-modulated rough stochastic volatility models. SIAM Journal on Financial Mathematics. 2021, 12(3), 1257-1284 | |
dc.identifier.uri | http://hdl.handle.net/10852/92417 | |
dc.description.abstract | We propose a new class of rough stochastic volatility models obtained by modulating the power-law kernel defining the fractional Brownian motion (fBm) by a logarithmic term, such that the kernel retains square integrability even in the limit case of vanishing Hurst index $H$. The so-obtained log-modulated fractional Brownian motion (log-fBm) is a continuous Gaussian process even for $H = 0$. As a consequence, the resulting super-rough stochastic volatility models can be analyzed over the whole range $0 \le H < 1/2$ without the need of further normalization. We obtain skew asymptotics of the form $\log(1/T)^{-p} T^{H-1/2}$ as $T\to 0$, $H \ge 0$, so no flattening of the skew occurs as $H \to 0$. | |
dc.language | EN | |
dc.title | Log-modulated rough stochastic volatility models | |
dc.type | Journal article | |
dc.creator.author | Bayer, Christian | |
dc.creator.author | Harang, Fabian Andsem | |
dc.creator.author | Pigato, Paolo | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk, finans og risiko | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 2 | |
dc.identifier.cristin | 1822322 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=SIAM Journal on Financial Mathematics&rft.volume=12&rft.spage=1257&rft.date=2021 | |
dc.identifier.jtitle | SIAM Journal on Financial Mathematics | |
dc.identifier.volume | 12 | |
dc.identifier.issue | 3 | |
dc.identifier.doi | https://doi.org/10.1137/20M135902X | |
dc.identifier.urn | URN:NBN:no-95004 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 1945-497X | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/92417/1/revision_2_SIFIN.pdf | |
dc.type.version | AcceptedVersion | |
cristin.articleid | 2008.03204 | |
dc.relation.project | NFR/274410 | |