Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059): Difference between revisions
From MaRDI portal
Latest revision as of 01:10, 19 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach |
scientific article |
Statements
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (English)
0 references
24 April 2019
0 references
Malliavin calculus
0 references
fractional volatility models
0 references
volatility swaps
0 references
0 references
0 references