Short-dated smile under rough volatility: asymptotics and numerics (Q5072906): Difference between revisions

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Latest revision as of 21:55, 28 July 2024

scientific article; zbMATH DE number 7518199
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English
Short-dated smile under rough volatility: asymptotics and numerics
scientific article; zbMATH DE number 7518199

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    Short-dated smile under rough volatility: asymptotics and numerics (English)
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    5 May 2022
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    rough volatility
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    European option pricing
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    implied volatility
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    small-time asymptotics
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    rough paths
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    regularity structures
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    Karhunen-Loeve
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