\mathfrak{X}PDE for \mathfrak{X} \in \{\mathrm{BS},\mathrm{FBS}, \mathrm{P}\}: a rough volatility context
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Publication:6451880
Second-order parabolic equations (35K10) Fractional processes, including fractional Brownian motion (60G22) Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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