Exponentiation of conditional expectations under stochastic volatility
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Publication:5215433
DOI10.1080/14697688.2019.1642506zbMATH Open1431.91387OpenAlexW2623860147WikidataQ127372299 ScholiaQ127372299MaRDI QIDQ5215433FDOQ5215433
Radoš Radoičić, Elisa Alòs, Jim Gatheral
Publication date: 10 February 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1642506
Cites Work
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Cited In (12)
- RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
- New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
- Unified signature cumulants and generalized Magnus expansions
- CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
- Forests, cumulants, martingales
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- The rough Hawkes Heston stochastic volatility model
- Log-normal stochastic volatility model with quadratic drift
- Realized cumulants for martingales
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
- Moment explosions in the rough Heston model
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