{"title":"Functional quantization of rough volatility and applications to volatility derivatives","authors":"O. Bonesini, G. Callegaro, A. Jacquier","doi":"10.1080/14697688.2023.2273414","DOIUrl":null,"url":null,"abstract":"We develop a product functional quantization of rough volatility. Since the optimal quantizers can be computed offline, this new technique, built on the insightful works by [Luschgy, H. and Pagès, ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"23 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2023-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2023.2273414","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We develop a product functional quantization of rough volatility. Since the optimal quantizers can be computed offline, this new technique, built on the insightful works by [Luschgy, H. and Pagès, ...
期刊介绍：
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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