Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach |
scientific article; zbMATH DE number 7047635
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach |
scientific article; zbMATH DE number 7047635 |
Statements
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (English)
0 references
24 April 2019
0 references
Malliavin calculus
0 references
fractional volatility models
0 references
volatility swaps
0 references
0 references
0 references
0.8001404404640198
0 references
0.7595657110214233
0 references
0.7553512454032898
0 references
0.7536108493804932
0 references
