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Convergence of Heston to SVI
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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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Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
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3
Zero-intelligence realized variance estimation
Gatheral, Jim
;
Oomen, Roel C. A.
- In:
Finance and stochastics
14
(
2010
)
2
,
pp. 249-283
Persistent link: https://www.econbiz.de/10003951508
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Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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