Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime

DOI10.1080/14697688.2020.1790634zbMath1477.91053OpenAlexW3081704689MaRDI QIDQ5014187

No author found.

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/rough-volatility-cgmy-jumps-with-a-finite-history-and-the-rough-heston-modelsmalltime-asymptotics-in-the-k-t-regime(52b6cd82-8cc7-4eee-adee-e56cda47b016).html

zbMATH Keywords

Lévy processEuropean optionsRiemann-Liouville processrough stochastic volatility model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Matlab

Cites Work

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