Decomposition formula for rough Volterra stochastic volatility models
Raúl Merino, Jan Pospíšil, Tomáš Sobotka, Tommi Sottinen, Josep Vives
| Year of publication: |
2021
|
|---|---|
| Authors: | Merino, Raúl ; Pospíšil, Jan ; Sobotka, Tomáš ; Sottinen, Tommi ; Vives, Josep |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 2, p. 1-47
|
| Subject: | Volterra stochastic volatility | rough volatility | Bergomi model | option pricing | decomposition formula | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Dekompositionsverfahren | Decomposition method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500084 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012650356