Pricing under rough volatility
Author:
Funder
Deutsche Forschungsgemeinschaft
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2015.1099717
Reference16 articles.
1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
2. What Type of Process Underlies Options? A Simple Robust Test
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