Option pricing under fast-varying and rough stochastic volatility (Q1630429)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing under fast-varying and rough stochastic volatility |
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Option pricing under fast-varying and rough stochastic volatility (English)
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10 December 2018
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stochastic volatility
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short-range correlation
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fractional Ornstein-Uhlenbeck process
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Hurst exponent
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mean reversion
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