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