Short-dated smile under rough volatility: asymptotics and numerics (Q5072906): Difference between revisions
From MaRDI portal
Removed claims |
Changed an Item |
||
Property / author | |||
Property / author: Paul Gassiat / rank | |||
Normal rank | |||
Property / author | |||
Property / author: Paolo Pigato / rank | |||
Normal rank |
Revision as of 17:42, 14 February 2024
scientific article; zbMATH DE number 7518199
Language | Label | Description | Also known as |
---|---|---|---|
English | Short-dated smile under rough volatility: asymptotics and numerics |
scientific article; zbMATH DE number 7518199 |
Statements
Short-dated smile under rough volatility: asymptotics and numerics (English)
0 references
5 May 2022
0 references
rough volatility
0 references
European option pricing
0 references
implied volatility
0 references
small-time asymptotics
0 references
rough paths
0 references
regularity structures
0 references
Karhunen-Loeve
0 references