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A regularity structure for rough volatility

Published:2019-11-19 Issue:3 Volume:30 Page:782-832
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Bayer Christian¹,Friz Peter K.²,Gassiat Paul³,Martin Jorg⁴,Stemper Benjamin²

Affiliation:

1. WIASBerlin Germany

2. TU and WIASBerlin Germany

3. Paris Dauphine UniversityParis France

4. HUBerlin Germany

Funder

Deutsche Forschungsgemeinschaft

European Research Council

Agence Nationale de la Recherche

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12233

Reference55 articles.

1. A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing

2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

3. A fractional Heston model with

4. Application of large deviation methods to the pricing of index options in finance

5. Pricing under rough volatility

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