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Reconstructing volatility: Pricing of index options under rough volatility - MaRDI portal

Reconstructing volatility: Pricing of index options under rough volatility (Q6054443)

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scientific article; zbMATH DE number 7743095
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English
Reconstructing volatility: Pricing of index options under rough volatility
scientific article; zbMATH DE number 7743095

    Statements

    title
    Reconstructing volatility: Pricing of index options under rough volatility (English)
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    author
    Peter K. Friz
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    Thomas Wagenhofer
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    publication date
    28 September 2023
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    cites work
    Q3457552
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    Q5396410
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    Identifiers

    arXiv ID
    2212.07817
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    DOI
    10.1111/mafi.12374
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    zbMATH DE Number
    7743095
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    OpenAlex ID
    W4320011907
    0 references
     
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