Short-time asymptotics for non-self-similar stochastic volatility models
Year of publication: |
2023
|
---|---|
Authors: | Giorgio, Giacomo ; Pacchiarotti, Barbara ; Pigato, Paolo |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 30.2023, 3, p. 123-152
|
Subject: | European option pricing | fractional Ornstein-Uhlenbeck | implied volatility | modulated models | Rough volatility | short-time asymptotics | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Experiment | Black-Scholes-Modell | Black-Scholes model |
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