Rough volatility via the Lamperti transform (Q6059021): Difference between revisions
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scientific article; zbMATH DE number 7759154
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rough volatility via the Lamperti transform |
scientific article; zbMATH DE number 7759154 |
Statements
Rough volatility via the Lamperti transform (English)
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1 November 2023
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rough volatility
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fractional Ornstein-Uhlenbeck process
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self-similarity
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Hurst-Hölder exponent
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