WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691): Difference between revisions

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Latest revision as of 13:08, 31 July 2024

scientific article; zbMATH DE number 7656158
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English
WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY
scientific article; zbMATH DE number 7656158

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    WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (English)
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    22 February 2023
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    rough volatility
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    option pricing
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    weak error
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    Euler-Maruyama
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    non-Markovian dynamics
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    rough Stein-Stein model
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