Regularity structure for rough volatility

DOI10.1137/1.9781611977783.CH10MaRDI QIDQ7029226zbMATH OpenFDO

Authors Christian Bayer, Peter Friz, Paul Gassiat, Jörg Martin, Benjamin Stemper

Publication date 11 February 2025

Full work available at URL https://doi.org/10.1137/1.9781611977783.CH10

Mathematics Subject Classification ID

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

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