Pricing options under rough volatility with backward SPDEs (Q5065084)
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scientific article; zbMATH DE number 7493051
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing options under rough volatility with backward SPDEs |
scientific article; zbMATH DE number 7493051 |
Statements
Pricing Options under Rough Volatility with Backward SPDEs (English)
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18 March 2022
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rough volatility
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option pricing
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stochastic partial differential equation
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machine learning
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stochastic Feynman-Kac formula
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stochastic Black-Scholes equation
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0.769365131855011
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0.7639768719673157
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0.7572048306465149
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0.7515442967414856
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0.7466883063316345
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