Robustness and sensitivity analyses of rough Volterra stochastic volatility models (Q6146137)

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scientific article; zbMATH DE number 7786167
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Robustness and sensitivity analyses of rough Volterra stochastic volatility models
scientific article; zbMATH DE number 7786167

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    Robustness and sensitivity analyses of rough Volterra stochastic volatility models (English)
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    10 January 2024
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    Volterra stochastic volatility
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    rough volatility
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    rough Bergomi model
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    robustness analysis
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    sensitivity analysis
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