4/2 rough and smooth
Tingjin Yan, Jie Yin, Ling Wang, Hoi Ying Wong
| Year of publication: |
2025
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|---|---|
| Authors: | Yan, Tingjin ; Yin, Jie ; Wang, Ling ; Wong, Hoi Ying |
| Published in: |
Journal of banking and finance. - Amsterdam : Elsevier North-Holland, ISSN 1872-6372, ZDB-ID 1460614-8. - Vol. 181.2025, Art.-No. 107560, p. 1-14
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| Subject: | Option pricing | Rough volatility | S&P 500 index options | Two-factor stochastic volatility model | Volatility index options | Volatilität | Volatility | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2025.107560 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015558972