BibTeX
N/A
Identifiability of Rough Volatility From the Option Surface to the Volatility Path
K Fareed - Available at SSRN 6859900, 2026 - papers.ssrn.com
Calibrated Hurst exponents for rough volatility models are routinely reported to two decimal places, yet the implied volatility surface contains little information to pin them …
Link to paper
Calibrated Hurst exponents for rough volatility models are routinely reported to two decimal places, yet the implied volatility surface contains little information to pin them …