Pricing under rough volatility (Q5001177): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/14697688.2015.1099717
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+W3021131124
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@@ Property / cites work @@
+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Fractional {O}rnstein-{U}hlenbeck processes
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+Affine fractional stochastic volatility models
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+Long memory continuous time models
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+Asymptotic theory for Brownian semi-stationary processes with application to turbulence
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+Arbitrage-free SVI volatility surfaces
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+Zero-intelligence realized variance estimation.
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+Limit theorems for nearly unstable Hawkes processes
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+Realized Volatility: A Review
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+Linear estimation of self-similar processes via Lamperti's transformation
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