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Optimal Hedging Under Fast-Varying Stochastic Volatility - MaRDI portal

Optimal Hedging Under Fast-Varying Stochastic Volatility (Q5112725)

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scientific article; zbMATH DE number 7209456
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English
Optimal Hedging Under Fast-Varying Stochastic Volatility
scientific article; zbMATH DE number 7209456

    Statements

    title
    Optimal Hedging Under Fast-Varying Stochastic Volatility (English)
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    author
    Knut Sølna
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    Josselin Garnier
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    publication date
    8 June 2020
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    zbMATH Keywords
    stochastic volatility
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    rough volatility
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    hedging
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    risk quantification
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    cites work
    Q4509488
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    Volatility is rough
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    Q2725578
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    Identifiers

    DOI
    10.1137/18M1221655
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    Mathematics Subject Classification ID
    91G20
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    60H10
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    60G22
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    zbMATH DE Number
    7209456
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    arXiv ID
    1810.08337
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    OpenAlex ID
    W3013669110
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