Rough volatility via the Lamperti transform (Q6059021)

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scientific article; zbMATH DE number 7759154
Language Label Description Also known as
English
Rough volatility via the Lamperti transform
scientific article; zbMATH DE number 7759154

    Statements

    title
    Rough volatility via the Lamperti transform (English)
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    author
    Sergio Bianchi
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    Daniele Angelini
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    Augusto Pianese
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    Massimiliano Frezza
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    publication date
    1 November 2023
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    zbMATH Keywords
    rough volatility
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    fractional Ornstein-Uhlenbeck process
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    self-similarity
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    Hurst-Hölder exponent
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G18
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    60H30
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    zbMATH DE Number
    7759154
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    OpenAlex ID
    W4387223540
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