A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-law function with the exponent close to zero. These...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2017-11-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/1/1/14 |