DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 19:21, 5 March 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 |
Statements
DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (English)
0 references
18 June 2021
0 references
Volterra stochastic volatility
0 references
rough volatility
0 references
bergomi model
0 references
option pricing
0 references
decomposition formula
0 references