Hedging under rough volatility

DOI10.1137/1.9781611977783.CH6MaRDI QIDQ7029229zbMATH OpenFDO

Authors Masaaki Fukasawa, Peter Tankov

Publication date 11 February 2025

Full work available at URL https://doi.org/10.1137/1.9781611977783.CH6

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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