Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Option pricing under fast-varying and rough stochastic volatility - MaRDI portal

Option pricing under fast-varying and rough stochastic volatility (Q1630429)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Option pricing under fast-varying and rough stochastic volatility
scientific article

    Statements

    title
    Option pricing under fast-varying and rough stochastic volatility (English)
    0 references
    author
    Josselin Garnier
    0 references
    Knut Sølna
    0 references
    publication date
    10 December 2018
    0 references
    zbMATH Keywords
    stochastic volatility
    0 references
    short-range correlation
    0 references
    fractional Ornstein-Uhlenbeck process
    0 references
    Hurst exponent
    0 references
    mean reversion
    0 references

    Identifiers

    zbMATH DE Number
    6991148
    0 references
    OpenAlex ID
    W2962899515
    0 references
    arXiv ID
    1707.00610
    0 references
    Wikidata QID
    Q129706757
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1630429&oldid=37845929"
    Powered by MediaWiki