The Zumbach effect under rough Heston

The Zumbach effect under rough Heston

El Euch, Omar, Gatheral, Jim, Radoičić, Radoš, Rosenbaum, Mathieu
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2019.1658889
Date:
October, 2019
File:
PDF, 806 KB
english, 2019
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