Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions

MaRDI QIDQ7187206arXivFDO

Authors Elisa Alòs, Òscar Burés, Rafael Desantiago, Josep Vives

Publication date 2025

Published in arXiv

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Algebraic structures and computation (60L70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

arXiv classification

q-fin.MF

This page was built for publication: Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7187206)