Short-Time Expansion of Characteristic Functions in a Rough Volatility Setting With Applications-Reference-Cited by-同舟云学术

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Short-Time Expansion of Characteristic Functions in a Rough Volatility Setting With Applications

Published:2022 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Chong Carsten,Todorov Viktor

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference28 articles.

1. Short-time near-the-money skew in rough fractional volatility models;C Bayer;Quantitative Finance,2019

2. Decoupling the short-and long-term behavior of stochastic volatility;M Bennedsen;Journal of Financial Econometrics

3. Optimal Positioning in Derivative Securities;P Carr;Quantitative Finance,2001

Cited by 1 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. Statistical inference for rough volatility: Central limit theorems;The Annals of Applied Probability;2024-06-01

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