Asymptotic behaviour of randomised fractional volatility models (Q5226253): Difference between revisions

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Latest revision as of 01:55, 20 July 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

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    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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