High-order methods for the option pricing under multivariate rough volatility models
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Publication:6161539
DOI10.1016/j.camwa.2022.05.039OpenAlexW4284687199MaRDI QIDQ6161539
Zheng-Guang Shi, Jingtang Ma, Pin Lyu
Publication date: 5 June 2023
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2022.05.039
Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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