Pricing under rough volatility (Q5001177)

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scientific article; zbMATH DE number 7372439
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Pricing under rough volatility
scientific article; zbMATH DE number 7372439

    Statements

    title
    Pricing under rough volatility (English)
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    author
    Christian Bayer
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    Peter K. Friz
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    Jim Gatheral
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    publication date
    16 July 2021
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    zbMATH Keywords
    arbitrage pricing
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    volatility surfaces
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    stochastic volatility
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    fractional Brownian motion
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    options pricing
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    volatility modelling
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    Bergomi-Guyon expansion
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    Identifiers

    zbMATH DE Number
    7372439
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    OpenAlex ID
    W3021131124
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