Artikel
Reconstructing volatility: Pricing of index options under rough volatility
Avellaneda et al. (2002, 2003) 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 present an extension applicable to non‐Markovian dynamics and in particular the case of rough volatility dynamics.
- Language
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Englisch
- Bibliographic citation
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Journal: Mathematical Finance ; ISSN: 1467-9965 ; Volume: 33 ; Year: 2023 ; Issue: 1 ; Pages: 19-40 ; Hoboken, NJ: Wiley
- Event
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Geistige Schöpfung
- (who)
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Friz, Peter K.
Wagenhofer, Thomas
- Event
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Veröffentlichung
- (who)
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Wiley
- (where)
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Hoboken, NJ
- (when)
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2023
- DOI
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doi:10.1111/mafi.12374
- Last update
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10.03.2025, 11:43 AM CET
Data provider
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Object type
- Artikel
Associated
- Friz, Peter K.
- Wagenhofer, Thomas
- Wiley
Time of origin
- 2023
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Rough Volatility: Fact or Artefact?
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Pricing and Hedging in rough volatility models
Rough paths and rough volatility
Pricing of options under different volatility models
Vulnerable options pricing under uncertain volatility model
Pricing of options under different volatility models
Good volatility, bad volatility and option pricing
Pricing options on variance in affine stochastic volatility models
Deep hedging under rough volatility
Rough Volatility: Fact or Artefact?
Asymptotics for volatility derivatives in multi-factor rough volatility models
On the Pricing of Forward Starting Options under Stochastic Volatility
Reconstructing volatility: Pricing of index options under rough volatility
Pricing and Hedging in rough volatility models
Rough paths and rough volatility
Pricing of options under different volatility models
Vulnerable options pricing under uncertain volatility model
Pricing of options under different volatility models
Good volatility, bad volatility and option pricing
Pricing options on variance in affine stochastic volatility models
Deep hedging under rough volatility
Rough Volatility: Fact or Artefact?
Asymptotics for volatility derivatives in multi-factor rough volatility models