How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost (Q6048447)
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scientific article; zbMATH DE number 7737634
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost |
scientific article; zbMATH DE number 7737634 |
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How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost (English)
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14 September 2023
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stock price
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expected return
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volatility
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noise
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rough path theory
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rough path lifts
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rough differential equations
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no-arbitrage
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risk
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