Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
type: Item
instance of: scholarly article
title: Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
zbMATH Open document ID: 1411.91536
author: Elisa Alòs
author: Kenichiro Shiraya
published in: Finance and Stochastics
publication date: 2019-04-24T00:00:00Z
full work available at URL: F407.pdf
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 7047635
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: fractional volatility models
zbMATH Keywords: volatility swaps
MaRDI profile type: Publication
OpenAlex ID: W2698604822
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DOI: 10.1007/S00780-019-00384-5
description: scientific article; zbMATH DE number 7047635