Robustness and sensitivity analyses for rough Volterra stochastic volatility models
粗糙 Volterra 随机波动率模型的稳健性与敏感性分析
In this paper, we analyze the robustness and sensitivity of various continuous-time rough Volterra stochastic volatility models in relation to the process of market calibration. Model robustness is examined from two perspectives: the sensitivity of option price estimates and the sensitivity of parameter estimates to changes in the option data structure. The following sensitivity analysis consists of statistical tests to determine whether a given studied model is sensitive to…