Statistical inference for rough volatility: Minimax Theory
粗糙波动率的统计推断:极小极大理论
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a fractional Brownian motion with a small value for the Hurst parameter $H$. In this work, we provide a rigorous statistical analysis of these models. To do so, we establish minimax lower bounds for parameter estimation and design procedures based on wavelets attaining them. We notably obtain an…