Rough volatility via the Lamperti transform (Q6059021): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/j.cnsns.2023.107582 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.CNSNS.2023.107582 / rank | |||
Normal rank | |||
Latest revision as of 18:03, 30 December 2024
scientific article; zbMATH DE number 7759154
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rough volatility via the Lamperti transform |
scientific article; zbMATH DE number 7759154 |
Statements
Rough volatility via the Lamperti transform (English)
0 references
1 November 2023
0 references
rough volatility
0 references
fractional Ornstein-Uhlenbeck process
0 references
self-similarity
0 references
Hurst-Hölder exponent
0 references
0 references
