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Volatility Options in Rough Volatility Models - MaRDI portal

Volatility Options in Rough Volatility Models (Q5112731)

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scientific article; zbMATH DE number 7209461
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English
Volatility Options in Rough Volatility Models
scientific article; zbMATH DE number 7209461

    Statements

    title
    Volatility Options in Rough Volatility Models (English)
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    author
    Blanka Horvath
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    Antoine Jacquier
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    Peter Tankov
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    publication date
    8 June 2020
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    zbMATH Keywords
    rough volatility
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    VIX smile
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    Monte Carlo
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    Volterra process
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    cites work
    Q3656682
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    Volatility is rough
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    Q4275389
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    Q3136462
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    Q3774629
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    Identifiers

    DOI
    10.1137/18M1169242
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    65C05
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    zbMATH DE Number
    7209461
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    arXiv ID
    1802.01641
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