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ROUGH-HESTON LOCAL-VOLATILITY MODEL - MaRDI portal

ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773)

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scientific article; zbMATH DE number 7806895
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ROUGH-HESTON LOCAL-VOLATILITY MODEL
scientific article; zbMATH DE number 7806895

    Statements

    title
    ROUGH-HESTON LOCAL-VOLATILITY MODEL (English)
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    author
    Q6119772
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    Riccardo Longoni
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    Andrea Pallavicini
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    publication date
    20 February 2024
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    zbMATH Keywords
    local volatility
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    rough volatility
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    rough Heston
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    Markovian projection
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    volatility skew
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    small-time asymptotics
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    Identifiers

    arXiv ID
    2206.09220
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    zbMATH DE Number
    7806895
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