The derivative of the drift in the mixed fractional Brownian motion is γ-Hölder continuous for every γ < 2H - 3/2 when H > 3/4.
No-arbitrage implies power-law market impact and rough volatility.Mathematical Finance, 30(4):1309–1336
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How smooth is the drift of the mixed fractional Brownian motion?
The derivative of the drift in the mixed fractional Brownian motion is γ-Hölder continuous for every γ < 2H - 3/2 when H > 3/4.