Citation

BibTex format

@article{Guennoun:2014,
author = {Guennoun, H and Jacquier, A and Roome, P and Shi, F},
journal = {SIAM Journal on Financial Mathematics},
title = {Asymptotic behaviour of the fractional Heston model},
url = {http://arxiv.org/abs/1411.7653v2},
year = {2014}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AB - We consider the fractional Heston model originally proposed by Comte, Coutinand Renault. Inspired by recent ground-breaking work on rough volatility, whichshowed that models with volatility driven by fractional Brownian motion withshort memory allows for better calibration of the volatility surface and morerobust estimation of time series of historical volatility, we provide acharacterisation of the short- and long-maturity asymptotics of the impliedvolatility smile. Our analysis reveals that the short-memory property preciselyprovides a jump-type behaviour of the smile for short maturities, therebyfixing the well-known standard inability of classical stochastic volatilitymodels to fit the short-end of the volatility smile.
AU - Guennoun,H
AU - Jacquier,A
AU - Roome,P
AU - Shi,F
PY - 2014///
SN - 1945-497X
TI - Asymptotic behaviour of the fractional Heston model
T2 - SIAM Journal on Financial Mathematics
UR - http://arxiv.org/abs/1411.7653v2
ER -