Turbocharging Monte Carlo pricing for the rough Bergomi model (Q4619528)
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scientific article; zbMATH DE number 7013649
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Turbocharging Monte Carlo pricing for the rough Bergomi model |
scientific article; zbMATH DE number 7013649 |
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Turbocharging Monte Carlo pricing for the rough Bergomi model (English)
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6 February 2019
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rough volatility
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implied volatility
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option pricing
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Monte Carlo
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variance reduction
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