Implied Roughness in Oil Volatility
The article examines the roughness of oil market volatility using unspanned stochastic volatility models, demonstrating that adding an extra parameter indicating the volatility's roughness improves the calibration nearly tenfold.
Featured in No. 54 on 20 Jun 2024 · on release day
- Released
- 20 Jun 2024
- First featured
- No. 54 · 20 Jun 2024
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- Not yet, as far as Semantic Scholar knows
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- 19
- Identifier
- RePEc:taf:quantf:v:24:y:2024:i:3-4:p:347-363
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