Functional quantization of rough volatility and applications to volatility derivatives (Q6127431)
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scientific article; zbMATH DE number 7831722
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Functional quantization of rough volatility and applications to volatility derivatives |
scientific article; zbMATH DE number 7831722 |
Statements
Functional quantization of rough volatility and applications to volatility derivatives (English)
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12 April 2024
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Riemann-Liouville process
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Volterra process
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functional quantization
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series expansion
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rough volatility
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VIX options
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