Pricing under rough volatility

DOI10.1080/14697688.2015.1099717zbMath1465.91108OpenAlexW3021131124MaRDI QIDQ5001177

Christian Bayer, Jim Gatheral, Peter K. Friz

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1099717

zbMATH Keywords

fractional Brownian motionstochastic volatilityarbitrage pricingvolatility surfacesoptions pricingvolatility modellingBergomi-Guyon expansion

Mathematics Subject Classification ID

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

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