Rough PDEs for local stochastic volatility models
Peter Bank, Christian Bayer, Peter K. Friz, Luca Pelizzari
| Year of publication: |
2025
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|---|---|
| Authors: | Bank, Peter ; Bayer, Christian ; Friz, Peter K. ; Pelizzari, Luca |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 35.2025, 3, p. 661-681
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| Subject: | option pricing | rough partial differential equations | rough volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12458 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015460603