A new moneyness-dependent Hurst exponent is inserted into an implied volatility formula that is claimed to beat SABR and fSABR, but the key H=1/2 at-the-money result is built into the formula rather than discovered.
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Integrating the implied regularity into implied volatility models: A study on free arbitrage model
A new moneyness-dependent Hurst exponent is inserted into an implied volatility formula that is claimed to beat SABR and fSABR, but the key H=1/2 at-the-money result is built into the formula rather than discovered.