VIX pricing in the rBergomi model under a regime switching change of measure
Year of publication: |
2023
|
---|---|
Authors: | Guerreiro, Henrique ; Guerra, João |
Subject: | Volatilität | Volatility | Börsenkurs | Share price | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory | Messung | Measurement |
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