Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
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Short-time near-the-money skew in rough fractional volatility models.
This is some code accompanying the paper:
Short-time near-the-money skew in rough fractional volatility models. Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). arXiv Preprint
Documentation:
See docstrings in respective files.
Requirements:
- Python 3 (including NumPy and SciPy packages)
- Intel Math Kernel Library (optional)
