Precise asymptotics: robust stochastic volatility models (Q2240838)

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Precise asymptotics: robust stochastic volatility models
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    title
    Precise asymptotics: robust stochastic volatility models (English)
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    DOI
    10.1214/20-AAP1608
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    author
    Peter K. Friz
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    Paul Gassiat
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    Paolo Pigato
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    publication date
    4 November 2021
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    Mathematics Subject Classification ID
    60L30
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    60F10
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    60G18
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    60G22
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    60H30
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    60L90
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    91G20
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    zbMATH DE Number
    7420504
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    zbMATH Keywords
    European option pricing
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    regularity structures
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    rough paths
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    rough volatility
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    small-time asymptotics
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