Weak error rates for option pricing under linear rough volatility
Christian Bayer, Eric Joseph Hall, Raúl Tempone
| Year of publication: |
2022
|
|---|---|
| Authors: | Bayer, Christian ; Hall, Eric Joseph ; Tempone, Raúl |
| Subject: | Euler-Maruyama | non-Markovian dynamics | option pricing | rough Stein-Stein model | rough volatility | weak error | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024922500297 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014235124