Rough volatility via the Lamperti transform

DOI10.1016/j.cnsns.2023.107582zbMath1529.91067OpenAlexW4387223540MaRDI QIDQ6059021

Augusto Pianese, Daniele Angelini, Sergio Bianchi, Massimiliano Frezza

Publication date: 1 November 2023

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2023.107582

zbMATH Keywords

self-similarityfractional Ornstein-Uhlenbeck processrough volatilityHurst-Hölder exponent

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

Cites Work

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