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 ]


  1. Raúl Merino (University of Barc)
  2. Jan Pospíšil (University of West Bohemia)
  3. Tomáš Sobotka (University of West Bohemia)
  4. Tommi Sottinen (University of Vaasa)
  5. Josep Vives (Universitat de Barcelona)

Topic Areas

Numerical Methods , Stochastic Analysis , Stochastic Volatility


TH-P-SY » Volatility (14:30 - Thursday, 19th July, Synge)

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