Short-time asymptotics for non-self-similar stochastic volatility models
Giacomo Giorgio, Barbara Pacchiarotti and Paolo Pigato
| Year of publication: |
2023
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|---|---|
| Authors: | Giorgio, Giacomo ; Pacchiarotti, Barbara ; Pigato, Paolo |
| Subject: | European option pricing | fractional Ornstein-Uhlenbeck | implied volatility | modulated models | Rough volatility | short-time asymptotics | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2023.2299467 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015051230