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Reconstructing Volatility: Pricing of Index Options under Rough Volatility by Friz, Peter K.; Wagenhofer, Thomas is a scholarly article available to read on EtoBox.

What is Reconstructing Volatility: Pricing of Index Options under Rough Volatility about?

In previous works Avellaneda et al. pioneered the pricing and hedging of index options - products highly sensitive to implied volatility and correlation assumptions - with large deviations methods, assuming local volatility dynamics for all components of the index. We here present an extension applicable to non-Markovian dynamics and in particular the case of rough volatility dynamics.

Author

Friz, Peter K.; Wagenhofer, Thomas

Published

2022

Language

EN