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Reconciling rough volatility with jumps (Q6623042)

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scientific article; zbMATH DE number 7930598
Language Label Description Also known as
English
Reconciling rough volatility with jumps
scientific article; zbMATH DE number 7930598

    Statements

    title
    Reconciling rough volatility with jumps (English)
    0 references
    author
    Eduardo Abi Jaber
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    Nathan De Carvalho
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    publication date
    23 October 2024
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    zbMATH Keywords
    stochastic volatility
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    Heston model
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    normal inverse Gaussian
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    rough Heston model
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    Riccati equations
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    cites work
    Q4509488
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    Volatility is rough
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    Q4692887
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    Q3423329
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    Q5516901
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    Q4937701
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91B70
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    60G51
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    60J74
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    zbMATH DE Number
    7930598
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    DOI
    10.1137/23M1558847
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