Weak error rates for option pricing under linear rough volatility
Year of publication: |
2022
|
---|---|
Authors: | Bayer, Christian ; Hall, Eric Joseph ; Tempone, Raúl |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 7/8, Art.-No. 2250029, p. 1-47
|
Subject: | Euler-Maruyama | non-Markovian dynamics | option pricing | rough Stein-Stein model | rough volatility | weak error | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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