Pricing under rough volatility

DOI10.1137/1.9781611977783.CH2MaRDI QIDQ7029233zbMATH OpenFDO

Authors Christian Bayer, Peter Friz, Jim Gatheral

Publication date 11 February 2025

Full work available at URL https://doi.org/10.1137/1.9781611977783.CH2

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Cited in

(1)

• Reflected backward stochastic differential equations with rough drivers

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