论文标题
重建波动率：在粗糙波动率下的索引选项的定价
Reconstructing Volatility: Pricing of Index Options under Rough Volatility
论文作者
论文摘要
在先前的作品中，Avellaneda等人。率先提出了指数选项的定价和对冲 - 对隐含波动性和相关假设高度敏感的产物，具有较大偏差方法，假设索引的所有组件都具有局部波动率动力学。我们在这里提出了适用于非马克维亚动力学的扩展，尤其是粗糙波动率动力学的情况。
In previous works Avellaneda et al. pioneered the pricing and hedging of index options - products highly sensitive to implied volatility and correlation assumptions - with large deviations methods, assuming local volatility dynamics for all components of the index. We here present an extension applicable to non-Markovian dynamics and in particular the case of rough volatility dynamics.
