Reconstructing volatility: Pricing of index options under rough volatility

DOI10.1111/mafi.12374zbMath1521.91359arXiv2212.07817MaRDI QIDQ6054443

Peter K. Friz, Thomas Wagenhofer

Publication date: 28 September 2023

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

Full work available at URL: https://arxiv.org/abs/2212.07817

Mathematics Subject Classification ID

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

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