Correction to: ``Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the kt regime

DOI10.1080/14697688.2020.1820246MaRDI QIDQ5014200zbMATH OpenOpenAlexFDO

Authors

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1820246

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

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Cited in

(4)

• Correction to: ``Semi-analytical prices for lookback and barrier options under the Heston model
• Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the \(k\sqrt{t}\) regime
• Corrigendum to ``Large deviations of realized volatility
• Corrigendum to: ``Pathwise large deviations for the rough Bergomi model

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