Reconstructing volatility: Pricing of index options under rough volatility
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Publication:6054443
DOI10.1111/mafi.12374zbMath1521.91359arXiv2212.07817OpenAlexW4320011907MaRDI QIDQ6054443
Peter K. Friz, Thomas Wagenhofer
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2212.07817
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