Buy rough, sell smooth

DOI10.1142/9789811259142_0007MaRDI QIDQ6599183zbMATH OpenFDO

Authors Paul Glasserman, Pu He

Publication date 6 September 2024

zbMATH Keywords

fractional Brownian motionvolatilitytrading strategiesvolatility skew

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Financial markets (91G15)

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