Log-Modulated Rough Stochastic Volatility Models (Q5162852)
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scientific article; zbMATH DE number 7421266
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| English | Log-Modulated Rough Stochastic Volatility Models |
scientific article; zbMATH DE number 7421266 |
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Log-Modulated Rough Stochastic Volatility Models (English)
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5 November 2021
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rough volatility models
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stochastic volatility
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rough Bergomi model
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implied skew
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fractional Brownian motion
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log Brownian motion
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0.91216415
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0.9014276
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0.8899425
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0.88776654
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0.88479316
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