A regularity structure for rough volatility

Mathematical Finance 2019 / 11

A regularity structure for rough volatility

Bayer, Christian, Friz, Peter K., Gassiat, Paul, Martin, Jorg, Stemper, Benjamin
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Journal:
Mathematical Finance
DOI:
10.1111/mafi.12233
Date:
November, 2019
File:
PDF, 1.09 MB
2019
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