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Rough volatility
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Functional central limit theorems for rough volatility
Horvath, Blanka Nora
;
Jacquier, Antoine
;
Muguruza, Aitor
; …
- In:
Finance and stochastics
28
(
2024
)
3
,
pp. 615-661
Persistent link: https://www.econbiz.de/10015130353
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Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
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