Decomposition formula for rough fractional stochastic volatility model

In this talk we introduce a decomposition of the option pricing formula for the rough fractional stochastic volatility models where the volatility process is modelled as the exponential fractional Brownian motion. We further... [ view full abstract ]

In this talk we introduce a decomposition of the option pricing formula for the rough fractional stochastic volatility models where the volatility process is modelled as the exponential fractional Brownian motion. We further derive an approximation for the price. Numerical comparison is performed against the Monte Carlo simulations results.