Turbocharging Monte Carlo pricing for the rough Bergomi model
Author:
Affiliation:
1. Department of Mathematics, Imperial College London , South Kensington Campus, London, SW7 2AZ UK.
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1459812
Reference19 articles.
1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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