Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059): Difference between revisions

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Latest revision as of 01:10, 19 July 2024

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Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
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    Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (English)
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    24 April 2019
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    Malliavin calculus
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    fractional volatility models
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    volatility swaps
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