Functional quantization of rough volatility and applications to volatility derivatives

DOI10.1080/14697688.2023.2273414arXiv2104.04233OpenAlexW4389308498MaRDI QIDQ6127431

Antoine Jacquier, Giorgia Callegaro, Ofelia Bonesini

Publication date: 12 April 2024

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

Full work available at URL: https://arxiv.org/abs/2104.04233

zbMATH Keywords

series expansionVIX optionsRiemann-Liouville processVolterra processfunctional quantizationrough volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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