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Volatility has to be rough |
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| Authors: | Masaaki Fukasawa |
| Affiliation: | 1. Graduate School of Engineering Science, Osaka University, Toyonaka, Japan fukasawa@sigmath.es.osaka-u.ac.jp |
| Abstract: | Under power-law blow-up of the short ATM skew, volatility must be rough in a viable market for the underlying asset |
| Keywords: | |