Local volatility under rough volatility

DOI10.1111/mafi.12392zbMath1529.91068arXiv2204.02376OpenAlexW4377942496MaRDI QIDQ6187367

Paolo Pigato, Florian Bourgey, Stefano De Marco, Peter K. Friz

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.02376

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of rough analysis (60L90)

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