DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441): Difference between revisions

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Latest revision as of 10:31, 30 July 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

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    DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (English)
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    18 June 2021
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    Volterra stochastic volatility
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    rough volatility
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    bergomi model
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    option pricing
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    decomposition formula
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