Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
scientific article

    Statements

    Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (English)
    0 references
    0 references
    0 references
    24 April 2019
    0 references
    Malliavin calculus
    0 references
    fractional volatility models
    0 references
    volatility swaps
    0 references

    Identifiers