ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773)
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scientific article; zbMATH DE number 7806895
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ROUGH-HESTON LOCAL-VOLATILITY MODEL |
scientific article; zbMATH DE number 7806895 |
Statements
ROUGH-HESTON LOCAL-VOLATILITY MODEL (English)
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20 February 2024
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local volatility
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rough volatility
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rough Heston
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Markovian projection
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volatility skew
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small-time asymptotics
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