Exponentiation of conditional expectations under stochastic volatility
Elisa Alòs, Jim Gatheral and Radoš Radoičić
| Year of publication: |
2020
|
|---|---|
| Authors: | Alòs, Elisa ; Gatheral, Jim ; Radoičić, Radoš |
| Subject: | Conditional expectations | Exponentiation | Rough volatility | Stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Erwartungsbildung | Expectation formation | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1642506 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194851