How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost-Reference-Cited by-同舟云学术

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How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost

Published:2023-08-10 Issue:3 Volume:14 Page:879-909
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Duc Luu H.¹,Jost Jürgen²^ORCID

Affiliation:

1. Max Planck Institute for Mathematics in the Sciences, 04103 Leipzig, Germany, and Institute of Mathematics, Vietnam Academy of Science and Technology, 10307 Hanoi, Vietnam.

2. Max Planck Institute for Mathematics in the Sciences, 04103 Leipzig, Germany, and the Santa Fe Institute, Santa Fe, NM 87501 USA.

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Reference48 articles.

1. Stochastic Calculus with Respect to Gaussian Processes

2. Scaling and Multiscaling in Financial Series: A Simple Model

3. Multifractal random walk

4. Pricing under rough volatility

5. A regularity structure for rough volatility

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