Volatility has to be rough

  title={Volatility has to be rough},
  author={Masaaki Fukasawa},
  journal={Quantitative Finance},
  pages={1 - 8}
  • M. Fukasawa
  • Published 21 February 2020
  • Economics
  • Quantitative Finance
Under power-law blow-up of the short ATM skew, volatility must be rough in a viable market for the underlying asset 

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  • 2012
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Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However,

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