The Zumbach effect under rough Heston
El Euch, Omar, Gatheral, Jim, Radoičić, Radoš, Rosenbaum, MathieuLanguage:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2019.1658889
Date:
October, 2019
File:
PDF, 806 KB
english, 2019