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Power law in Sandwiched Volterra Volatility model - MaRDI portal

Power law in Sandwiched Volterra Volatility model

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Publication:6457802

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DOI10.15559/24-VMSTA246arXiv2311.01228WikidataQ129437563 ScholiaQ129437563MaRDI QIDQ6457802

Anton Yurchenko-Tytarenko, Giulia Di Nunno

Publication date: 2 November 2023

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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