DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1906.07101 / rank | |||
Normal rank | |||
Latest revision as of 22:23, 19 April 2024
scientific article; zbMATH DE number 7360857
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS |
scientific article; zbMATH DE number 7360857 |
Statements
DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (English)
0 references
18 June 2021
0 references
Volterra stochastic volatility
0 references
rough volatility
0 references
bergomi model
0 references
option pricing
0 references
decomposition formula
0 references
