Robustness and sensitivity analyses of rough Volterra stochastic volatility models

DOI10.1007/s10436-023-00433-2zbMath1530.91573arXiv2107.12462OpenAlexW3193064448MaRDI QIDQ6146137

Jan Matas, Jan Pospíšil

Publication date: 10 January 2024

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.12462

zbMATH Keywords

robustness analysissensitivity analysisrough volatilityrough Bergomi modelVolterra stochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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