Asymptotics for Rough Stochastic Volatility Models
Author:
Funder
King's College London
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/15M1009330
Reference24 articles.
1. A generalization of the Hull and White formula with applications to option pricing approximation
2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
3. Pricing under rough volatility
4. Large deviations for local times and intersection local times of fractional Brownian motions and Riemann–Liouville processes
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