Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models (Q5092721): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.02943
@@ Property / arXiv ID: 2203.02943 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of occupation time functionals
@@ Property / cites work: Approximation of occupation time functionals / rank @@
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+A duality approach for the weak approximation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Volatility has to be rough
@@ Property / cites work: Volatility has to be rough / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5092721