Functional quantization of rough volatility and applications to volatility derivatives
O. Bonesini, G. Callegaro and A. Jacquier
| Year of publication: |
2023
|
|---|---|
| Authors: | Bonesini, O. ; Callegaro, Giulia ; Jacquier, Antoine |
| Subject: | Functional quantization | Riemann–Liouville process | Rough volatility | Series expansion | Vix options | Volterra process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2273414 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014452470