Reconstructing volatility: Pricing of index options under rough volatility (Q6054443)

From MaRDI portal
Revision as of 00:35, 3 August 2024 by ReferenceBot (talk | contribs) (β€ŽChanged an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision β†’ (diff)
scientific article; zbMATH DE number 7743095
Language Label Description Also known as
English
Reconstructing volatility: Pricing of index options under rough volatility
scientific article; zbMATH DE number 7743095

    Statements

    title
    Reconstructing volatility: Pricing of index options under rough volatility (English)
    0 references
    author
    Peter K. Friz
    0 references
    Thomas Wagenhofer
    0 references
    publication date
    28 September 2023
    0 references
    cites work
    Q3457552
    0 references
    Q5396410
    0 references

    Identifiers

    arXiv ID
    2212.07817
    0 references
    DOI
    10.1111/mafi.12374
    0 references
    zbMATH DE Number
    7743095
    0 references
    OpenAlex ID
    W4320011907
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q6054443&oldid=37563010"
    Powered by MediaWiki