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On the skew-curvature power law relationship in a stochastic volatility model with infinite variation Lévy jumps
The short-term blow up behaviour of the ATM-IV skew is commonly modelled by either a rough volatility process with small Hurst index or an infinite variation Lévy process in the log-price dynamics. In this paper, we examine which is the effect of mixed dynamics (i.e. rough volatility and infinite va
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