Pricing under rough volatility (Q5001177)
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scientific article; zbMATH DE number 7372439
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing under rough volatility |
scientific article; zbMATH DE number 7372439 |
Statements
Pricing under rough volatility (English)
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16 July 2021
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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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