Volatility Options in Rough Volatility Models
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Publication:5112731
DOI10.1137/18M1169242zbMath1443.91293arXiv1802.01641MaRDI QIDQ5112731
Blanka Horvath, Peter Tankov, Antoine Jacquier
Publication date: 8 June 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.01641
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (12)
On the Discrete-Time Simulation of the Rough Heston Model ⋮ Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Weak approximations and VIX option price expansions in forward variance curve models ⋮ Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process ⋮ VIX pricing in the rBergomi model under a regime switching change of measure ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ Portfolio Optimization in Fractional and Rough Heston Models ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ Infinite-dimensional polynomial processes ⋮ Asymptotics for volatility derivatives in multi-factor rough volatility models ⋮ Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
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