The Zumbach effect under rough Heston
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Publication:5121491
DOI10.1080/14697688.2019.1658889zbMath1448.91295arXiv1809.02098OpenAlexW2982605865WikidataQ126855950 ScholiaQ126855950MaRDI QIDQ5121491
Mathieu Rosenbaum, Omar El Euch, Jim Gatheral, Radoš Radoičić
Publication date: 14 September 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.02098
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