On the martingale property in the rough Bergomi model (Q2422728)
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scientific article; zbMATH DE number 7068657
| Language | Label | Description | Also known as |
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| English | On the martingale property in the rough Bergomi model |
scientific article; zbMATH DE number 7068657 |
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On the martingale property in the rough Bergomi model (English)
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20 June 2019
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rough volatility
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martingale property
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0.7962419390678406
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0.785629391670227
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0.7845836877822876
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0.784583568572998
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