Rough volatility via the Lamperti transform (Q6059021): Difference between revisions

@@ Property / DOI @@
-.1016/j.cnsns.2023.107582
@@ Property / DOI: 10.1016/j.cnsns.2023.107582 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cnsns.2023.107582
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+W4387223540
@@ Property / OpenAlex ID: W4387223540 / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
+Normal rank
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+From rough to multifractal volatility: the log S-fBm model
+Normal rank
@@ Property / cites work @@
+Volatility has to be rough
@@ Property / cites work: Volatility has to be rough / rank @@
+Normal rank
@@ Property / cites work @@
+A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY
@@ Property / cites work: A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-Stable Stochastic Processes
@@ Property / cites work: Semi-Stable Stochastic Processes / rank @@
+Normal rank
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+Q3149666
@@ Property / cites work: Q3149666 / rank @@
+Normal rank
@@ Property / cites work @@
+The Brownian movement and stochastic equations
@@ Property / cites work: The Brownian movement and stochastic equations / rank @@
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+Modification of the Kolmogorov-Smirnov Statistic for Use with Correlated Data
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+Generalized Ornstein Uhlenbeck processes and associated self-similar processes
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+Fractional {O}rnstein-{U}hlenbeck processes
@@ Property / cites work: Fractional {O}rnstein-{U}hlenbeck processes / rank @@
+Normal rank
@@ Property / cites work @@
+On fractional Ornstein-Uhlenbeck processes
@@ Property / cites work: On fractional Ornstein-Uhlenbeck processes / rank @@
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@@ Property / cites work @@
+HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
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@@ Property / DOI @@
+.1016/J.CNSNS.2023.107582
@@ Property / DOI: 10.1016/J.CNSNS.2023.107582 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6059021