英文标题：
《Short-time near-the-money skew in rough fractional volatility models》
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作者：
Christian Bayer, Peter K. Friz, Archil Gulisashvili, Blanka Horvath,
Benjamin Stemper
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最新提交年份：
2018
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英文摘要：
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the \"rough\" regime of Hurst parameter $H < 1/2$. This regime recently attracted a lot of attention both from the statistical and option pricing point of view. With focus on the latter, we sharpen the large deviation results of Forde-Zhang (2017) in a way that allows us to zoom-in around the money while maintaining full analytical tractability. More precisely, this amounts to proving higher order moderate deviation estimates, only recently introduced in the option pricing context. This in turn allows us to push the applicability range of known at-the-money skew approximation formulae from CLT type log-moneyness deviations of order $t^{1/2}$ (recent works of Al\\`{o}s, Le\\\'{o}n & Vives and Fukasawa) to the wider moderate deviations regime.
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中文摘要：
我们考虑在赫斯特参数$H<1/2$的“粗糙”区域中，波动驱动噪声具有分数标度的粗糙随机波动率模型。从统计和期权定价的角度来看，这一制度最近引起了很多关注。在关注后者的同时，我们将Forde Zhang（2017）的大偏差结果锐化，使我们能够放大资金，同时保持完全的分析可跟踪性。更准确地说，这相当于证明高阶中等偏差估计，只是最近才在期权定价背景下引入。这反过来又允许我们将已知的货币倾斜近似公式的适用范围从CLT型对数货币度偏差$t ^{1/2}$（Al`{o}s、Le \\{o}n&Vives和Fukasawa最近的工作）推到更广泛的中等偏差制度。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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