DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441)
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scientific article; zbMATH DE number 7360857
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS |
scientific article; zbMATH DE number 7360857 |
Statements
DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (English)
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18 June 2021
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Volterra stochastic volatility
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rough volatility
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bergomi model
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option pricing
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decomposition formula
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