Asymptotics for volatility derivatives in multi-factor rough volatility models
Chloe Lacombe, Aitor Muguruza, Henry Stone
| Year of publication: |
2021
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|---|---|
| Authors: | Lacombe, Chloe ; Muguruza, Aitor ; Stone, Henry |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 15.2021, 3, p. 545-577
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| Subject: | Rough volatility | VIX | Large deviations | Realised variance | Small-time asymptotics | Gaussian measure | Reproducing kernel Hilbert space | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Derivat | Derivative | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-020-00288-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012586188