Asymptotic behaviour of randomised fractional volatility models (Q5226253): Difference between revisions
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Revision as of 20:16, 19 March 2024
scientific article; zbMATH DE number 7087504
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic behaviour of randomised fractional volatility models |
scientific article; zbMATH DE number 7087504 |
Statements
Asymptotic behaviour of randomised fractional volatility models (English)
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31 July 2019
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rough volatility
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large deviations
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implied volatility asymptotics
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