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~subject:"Rough volatility"
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Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
Saved in:
2
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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