Smile dynamics and rough volatility
The joint spot-smile dynamics is analysed through the skew stickiness ratio lens
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Florian Bourgey, Jules Delemotte and Stefano De Marco analyse joint spot-smile dynamics, focusing on the skew stickiness ratio in rough volatility models, and compare the results with S&P 500 data. After calibration to the at-the-money-forward volatility and skew term structures, they find that rough models yield skew stickiness ratio shapes that are broadly similar
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