Woon Wook Jang

Empirical performance of rough volatility models in the KOSPI 200 options market using deep surrogates

Purpose This study provides a systematic comparison of the pricing performance of the rough volatility models—rBergomi and rHeston—with that of classical one-factor stochastic volatility (SV) and stochastic volatility jump-diffusion (SVJ) models in the KOSPI 200 index options mar...