WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691): Difference between revisions
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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)
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22 February 2023
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rough volatility
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option pricing
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weak error
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Euler-Maruyama
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non-Markovian dynamics
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rough Stein-Stein model
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