Pages that link to "Item:Q2680394"
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The following pages link to Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs (Q2680394):
Displaying 4 items.
- Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility (Q2023514) (← links)
- Sensitivities \textit{via} rough paths (Q2786491) (← links)
- SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL (Q3637881) (← links)
- Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion (Q6567319) (← links)