期刊
QUANTITATIVE FINANCE
卷 21, 期 1, 页码 1-8出版社
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/14697688.2020.1825781
关键词
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In a viable market, the power-law blow-up of the short ATM skew implies that volatility must be rough.
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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