Local volatility under rough volatility (Q6187367)

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scientific article; zbMATH DE number 7797375
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English
Local volatility under rough volatility
scientific article; zbMATH DE number 7797375

    Statements

    title
    Local volatility under rough volatility (English)
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    author
    Florian Bourgey
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    Stefano De Marco
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    Peter K. Friz
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    Paolo Pigato
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    publication date
    31 January 2024
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    Identifiers

    arXiv ID
    2204.02376
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    DOI
    10.1111/mafi.12392
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    zbMATH DE Number
    7797375
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