Volatility Options in Rough Volatility Models (Q5112731)
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scientific article; zbMATH DE number 7209461
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility Options in Rough Volatility Models |
scientific article; zbMATH DE number 7209461 |
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Volatility Options in Rough Volatility Models (English)
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8 June 2020
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rough volatility
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VIX smile
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Monte Carlo
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Volterra process
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