Weak error estimates for rough volatility models (Q6419416)

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scientific article; zbMATH DE number 900554087
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English
Weak error estimates for rough volatility models
scientific article; zbMATH DE number 900554087

    Statements

    publication date
    3 December 2022
    0 references
    arXiv ID
    2212.01591
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    arXiv classification
    q-fin.CP
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    math.PR
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    author
    Peter K. Friz
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    William Salkeld
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    Thomas Wagenhofer
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    Mathematics Subject Classification ID
    60L90
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    60G22
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    91G20
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