Power?type derivatives for rough volatility with jumps

This paper proposes a novel analytical pricing–hedging framework for volatility derivatives which simultaneously takes into account rough and jumps. Directly targeting the instantaneous variance of risky asset, our model consists generalized fractional Ornstein–Uhlenbeck process driven by Lévy subordinator an independent sinusoidal-composite process, allows characteristic function average forward to be obtainable in semiclosed form, without having invoke any geometric-mean approximations. Pricing–hedging formulae are proposed general class power-type derivatives, spirit numerical Fourier transform. A comparative empirical study is conducted on two recent data sets Volatility Index options, before during COVID-19 pandemic, demonstrate that highly amenable efficient calibration under various choices kernels. The price dynamics underlying asset can readily considered possibility studying given as well.