Short-dated smile under rough volatility: asymptotics and numerics (Q5072906)
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scientific article; zbMATH DE number 7518199
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Short-dated smile under rough volatility: asymptotics and numerics |
scientific article; zbMATH DE number 7518199 |
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Short-dated smile under rough volatility: asymptotics and numerics (English)
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5 May 2022
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rough volatility
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European option pricing
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implied volatility
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small-time asymptotics
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rough paths
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regularity structures
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Karhunen-Loeve
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0.8482356667518616
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0.8410723209381104
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0.8211777210235596
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0.8111115097999573
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0.802593469619751
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