Masaaki Fukasawa: Volatility has to be rough

Name: Masaaki Fukasawa: Volatility has to be rough
Uploaded: 2021-04-13
Duration: 45 s
Description: We show that given a power law of volatility skew term structure in an option market, a continuous price path of the underlying asset with non-rough volatility admits an arbitrage opportunity. The volatility therefore has to be rough in a viable market of the underlying asset of which the volatility skew obeys a power law.

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2021-04-132021-04-13

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Masaaki Fukasawa: Volatility has to be rough

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