Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint

[摘要] Rough volatility models are becoming increasingly popular in quantitative finance. In this framework, one considers that the behavior of the log-volatility process of a financial asset is close to that of a fractional Brownian motion with Hurst parameter around 0.1. Motivated by this, we wish to define a natural and relevant limit for the fractional Brownian motion when $H$ goes to zero. We show that once properly normalized, the fractional Brownian motion converges to a Gaussian random distribution which is very close to a log-correlated random field.

[学科分类] 统计和概率

[关键词] fractional Brownian motion;log-correlated random field;rough volatility;multifractal processes