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Short-time near-the-money skew in rough fractional volatility models |
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| Authors: | C Bayer A Gulisashvili B Horvath B Stemper |
| Institution: | 1. WIAS Berlin, Berlin, Germany;2. Ohio University, Athens, USA;3. Imperial College London, London, UK;4. TU Berlin, Berlin, Germany |
| Abstract: | |
| Keywords: | Rough stochastic volatility model European option pricing Small-time asymptotics Moderate deviations |