Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime

Published:2020-09-01 Issue:4 Volume:21 Page:541-563
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Forde Martin¹,Smith Benjamin¹,Viitasaari Lauri²³

Affiliation:

1. Dept. Mathematics, King's College London, Strand, London, WC2R 2LS, UK

2. Department of Mathematics and Statistics, University of Helsinki, P.O. Box 68, Helsinki, FIN-00014, Finland

3. Department of Information and Service Management, Aalto University School of Business, P.O. Box 21210, Espoo, 00076, Finland

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1790634

Reference31 articles.

1. Methods de laplace et de la phase stationnaire sur l'espace de wiener

2. Pricing under rough volatility

3. Short-time near-the-money skew in rough fractional volatility models

4. Pricing options on realized variance

5. A Method for Simulating Stable Random Variables

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models;Communications in Statistics - Simulation and Computation;2024-04-12

2. Power utility maximization problem under rough stochastic local volatility models with continuous-time Markov chain approximation;Optimization;2023-08-21

3. MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES;International Journal of Theoretical and Applied Finance;2023-05

4. Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets;Quantitative Finance;2022-06-16

5. Volatility has to be rough;Quantitative Finance;2020-10-21

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3