The Zumbach effect under rough Heston
Year of publication: |
2020
|
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Authors: | El Euch, Omar ; Gatheral, Jim ; Radoičić, Radoš ; Rosenbaum, Mathieu |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 2, p. 235-241
|
Subject: | Rough Heston model | Zumbach effect | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | USA | United States | Volatilität | Volatility |
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