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Rough multi-factor volatility for SPX and VIX options (2024)

First Author: Jacquier A

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/10.1017/apr.2024.45

Publication URI: http://dx.doi.org/10.1017/apr.2024.45

Type: Journal Article/Review

Parent Publication: Advances in Applied Probability