Reconstructing volatility: Pricing of index options under rough volatility
扩展了Avellaneda等人的指数期权定价方法，使其适用于非马尔可夫动力学，特别是粗糙波动率情形，对依赖隐含波动率和相关性假设的指数期权产品定价与对冲有参考价值。
Abstract Avellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the index. We present an extension applicable to non‐Markovian dynamics and in particular the case of rough volatility dynamics.