Volatility is rough

Summary

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Authors: Jim Gatheral, Thibault Jaisson, Mathieu Rosenbaum

Journal title: Quantitative Finance

Journal number: 18/6

Journal publisher: Institute of Physics Publishing

Published year: 2017

Published pages: 933-949

DOI identifier: 10.1080/14697688.2017.1393551

ISSN: 1469-7688