Asymptotics for volatility derivatives in multi-factor rough volatility models
Year of publication: |
2021
|
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Authors: | Lacombe, Chloe ; Muguruza, Aitor ; Stone, Henry |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 15.2021, 3, p. 545-577
|
Subject: | Rough volatility | VIX | Large deviations | Realised variance | Small-time asymptotics | Gaussian measure | Reproducing kernel Hilbert space | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Derivat | Derivative | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
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