Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187)
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scientific article; zbMATH DE number 7436785
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime |
scientific article; zbMATH DE number 7436785 |
Statements
Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (English)
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1 December 2021
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European options
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rough stochastic volatility model
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Riemann-Liouville process
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Lévy process
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