Empirical validation of the Rough Volatility paradigm (H < 0.5) using S&P 500 data, and Monte Carlo options pricing via the Rough Bergomi (rBergomi) model to capture the short-term implied volatility skew.
monte-carlo-simulation quantitative-finance implied-volatility rough-volatility fractional-brownian-motion stochastic-calculus options-pricing financial-modeling volatility-smile rbergomi
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Updated
Aug 2, 2026 - Jupyter Notebook