WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 23:57, 5 March 2024
scientific article; zbMATH DE number 7656158
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY |
scientific article; zbMATH DE number 7656158 |
Statements
WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (English)
0 references
22 February 2023
0 references
rough volatility
0 references
option pricing
0 references
weak error
0 references
Euler-Maruyama
0 references
non-Markovian dynamics
0 references
rough Stein-Stein model
0 references
