Exponentiation of conditional expectations under stochastic volatility

DOI10.1080/14697688.2019.1642506zbMath1431.91387OpenAlexW2623860147MaRDI QIDQ5215433

Radoš Radoičić, Jim Gatheral, Elisa Alòs

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

zbMATH Keywords

stochastic volatilityconditional expectationsexponentiationrough volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Mathematica

Cites Work

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