Subdiffusive option pricing models with power-law trade durations imply a slowly decaying volatility skew and a declining volatility term structure, derived analytically and demonstrated on synthetic smiles.
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Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
Subdiffusive option pricing models with power-law trade durations imply a slowly decaying volatility skew and a declining volatility term structure, derived analytically and demonstrated on synthetic smiles.