Rough multifactor volatility for SPX and VIX options (2021)
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/10.48550/arxiv.2112.14310
Publication URI: https://arxiv.org/abs/2112.14310
Type: Preprint