英文标题：
《Asymptotic behaviour of the fractional Heston model》
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作者：
Hamza Guennoun, Antoine Jacquier, Patrick Roome, Fangwei Shi
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最新提交年份：
2017
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英文摘要：
We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short memory allows for better calibration of the volatility surface and more robust estimation of time series of historical volatility, we provide a characterisation of the short- and long-maturity asymptotics of the implied volatility smile. Our analysis reveals that the short-memory property precisely provides a jump-type behaviour of the smile for short maturities, thereby fixing the well-known standard inability of classical stochastic volatility models to fit the short-end of the volatility smile.
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中文摘要：
我们考虑孔德、库廷和雷诺最初提出的分数赫斯顿模型。受最近关于粗糙波动率的开创性研究的启发，我们提供了隐含波动率微笑的短期和长期成熟度渐近特性的描述。粗糙波动率的开创性研究表明，由分数布朗运动驱动的波动率模型具有短记忆，可以更好地校准波动率表面，并对历史波动率的时间序列进行更稳健的估计。我们的分析表明，短期记忆特性精确地为短期到期提供了微笑的跳跃式行为，从而修正了经典随机波动率模型无法拟合波动率微笑短端的众所周知的标准缺陷。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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