Pricing under rough volatility (Q5001177): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/14697688.2015.1099717 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3021131124 / rank | |||
Normal rank | |||
Revision as of 02:21, 20 March 2024
scientific article; zbMATH DE number 7372439
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing under rough volatility |
scientific article; zbMATH DE number 7372439 |
Statements
Pricing under rough volatility (English)
0 references
16 July 2021
0 references
arbitrage pricing
0 references
volatility surfaces
0 references
stochastic volatility
0 references
fractional Brownian motion
0 references
options pricing
0 references
volatility modelling
0 references
Bergomi-Guyon expansion
0 references
