Volatility Options in Rough Volatility Models (Q5112731)

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scientific article; zbMATH DE number 7209461
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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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