论文标题
粗糙的局部 - 局部挥发性模型
Rough-Heston Local-Volatility Model
论文作者
论文摘要
在工业应用中，使用由半马尔可夫·马尔可夫（Semi-Martingale Markov）波动过程驱动的随机波动率模型非常普遍。但是，为了完全适合市场波动，通常通过添加当地波动率术语来扩展这些模型。在这里，我们考虑了奇异的伏特拉过程的情况，并通过在普通瓦尼拉选项上保留这些模型所隐含的风格化结果，通过在其马尔可夫举重中添加局部挥发性术语来扩展它们。特别是，我们专注于粗糙的霍斯顿模型，并分析了其暗示的局部挥发性函数的少量时间渐近，以提供适当的外推方案以用于校准。
In industrial applications it is quite common to use stochastic volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a local volatility term. Here, we consider the case of singular Volterra processes, and we extend them by adding a local-volatility term to their Markov lift by preserving the stylized results implied by these models on plain-vanilla options. In particular, we focus on the rough-Heston model, and we analyze the small time asymptotics of its implied local-volatility function in order to provide a proper extrapolation scheme to be used in calibration.
