DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS
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Publication:4994441
DOI10.1142/S0219024921500084zbMath1466.91350arXiv1906.07101OpenAlexW3131137805MaRDI QIDQ4994441
Josep Vives, Jan Pospíšil, Tommi Sottinen, Raúl Merino, Tomáš Sobotka
Publication date: 18 June 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.07101
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