Turbocharging Monte Carlo pricing for the rough Bergomi model (Q4619528): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2963230864 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1708.02563 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic simulation: Algorithms and analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing under rough volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hybrid scheme for Brownian semistationary processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3457552 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic analysis for stochastic volatility: martingale expansion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility is rough / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433608 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On VIX futures in the rough Bergomi model / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Randomized Heston Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian Motions, Fractional Noises and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Contingent Claims and Market Completeness in a Stochastic Volatility Model / rank
 
Normal rank

Latest revision as of 02:55, 18 July 2024

scientific article; zbMATH DE number 7013649
Language Label Description Also known as
English
Turbocharging Monte Carlo pricing for the rough Bergomi model
scientific article; zbMATH DE number 7013649

    Statements

    Turbocharging Monte Carlo pricing for the rough Bergomi model (English)
    0 references
    0 references
    0 references
    6 February 2019
    0 references
    0 references
    0 references
    0 references
    0 references
    rough volatility
    0 references
    implied volatility
    0 references
    option pricing
    0 references
    Monte Carlo
    0 references
    variance reduction
    0 references
    0 references
    0 references