Rough-heston local-volatility model
Enrico Dall'acqua, Riccardo Longoni and Andrea Pallavicini
| Year of publication: |
2023
|
|---|---|
| Authors: | Dall'acqua, Enrico ; Longoni, Riccardo ; Pallavicini, Andrea |
| Subject: | Local volatility | Markovian projection | rough Heston | rough volatility | small-time asymptotics | volatility skew | Volatilität | Volatility | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024923500218 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014500191