The quadratic rough Heston+ model for short-dated options
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Florian Bourgey, Patrick Noble, Ingi Petursson, Mathieu Rosenbaum and Grégoire Szymanski introduce the quadratic rough HestonC (QRHC) model, a minimal extension of the quadratic rough Heston model that reproduces the extreme skews and curvatures of short-dated S&P 500 options, including zero-days-to-expiry options. By adding a single path-dependent boosting term, the
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