Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut–Elworthy–Li formula for singular SDEs
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference28 articles.
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Cited by 2 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. Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion;Journal of Computational and Applied Mathematics;2024-09
2. On the Analysis of Ait-Sahalia-Type Model for Rough Volatility Modelling;Journal of Theoretical Probability;2023-06-13
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