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Functional quantization of rough volatility and applications to volatility derivatives (2023)

First Author: Bonesini O

Attributed to: Rough Volatility: A Trojan horse into modern Financial computing funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/14697688.2023.2273414

Publication URI: http://dx.doi.org/10.1080/14697688.2023.2273414

Type: Journal Article/Review

Parent Publication: Quantitative Finance

Issue: 12