Option pricing under fast-varying and rough stochastic volatility (Q1630429)
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scientific article; zbMATH DE number 6991148
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing under fast-varying and rough stochastic volatility |
scientific article; zbMATH DE number 6991148 |
Statements
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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0.8485009670257568
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0.8318917751312256
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0.8068585991859436
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0.7995997071266174
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0.7933233976364136
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