Asymptotics for volatility derivatives in multi-factor rough volatility models

IF 0.9 3区经济学 Q3 BUSINESS, FINANCE Mathematics and Financial Economics Pub Date : 2021-01-09 DOI:10.1007/s11579-020-00288-5

Chloé Lacombe, Aitor Muguruza, Henry Stone

引用次数: 3

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多因素粗糙波动模型中波动导数的渐近性

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来源期刊

Mathematics and Financial Economics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS -

CiteScore

2.80

自引率

6.20%

发文量

期刊介绍： The primary objective of the journal is to provide a forum for work in finance which expresses economic ideas using formal mathematical reasoning. The work should have real economic content and the mathematical reasoning should be new and correct.

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