Partial hedging in rough volatility models (Q6585785)
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scientific article; zbMATH DE number 7895127
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Partial hedging in rough volatility models |
scientific article; zbMATH DE number 7895127 |
Statements
Partial hedging in rough volatility models (English)
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12 August 2024
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partial hedging
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rough volatility
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stochastic control
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Hamilton-Jacobi-Bellman
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Markov approximation
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dual control method
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0.8259205222129822
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0.7771459817886353
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