Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 07:43, 1 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach |
scientific article |
Statements
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (English)
0 references
24 April 2019
0 references
Malliavin calculus
0 references
fractional volatility models
0 references
volatility swaps
0 references