Rough-heston local-volatility model
Year of publication: |
2023
|
---|---|
Authors: | Dall'acqua, Enrico ; Longoni, Riccardo ; Pallavicini, Andrea |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 6/7, Art.-No. 2350021, p. 1-18
|
Subject: | Local volatility | Markovian projection | rough Heston | rough volatility | small-time asymptotics | volatility skew | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Markov-Kette | Markov chain |
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