No‐arbitrage implies power‐law market impact and rough volatility (Q5855958): Difference between revisions
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Revision as of 23:51, 5 March 2024
scientific article; zbMATH DE number 7326785
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | No‐arbitrage implies power‐law market impact and rough volatility |
scientific article; zbMATH DE number 7326785 |
Statements
No‐arbitrage implies power‐law market impact and rough volatility (English)
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23 March 2021
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Hawkes processes
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hyper-rough Heston model
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market impact
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no-arbitrage property
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rough Heston model
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rough volatility
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