Autor:	Eduardo Abi Jaber, Omar El Euch
Rok vydání:	2019
Předmět:	010104 statistics & probability Numerical Analysis 050208 finance Applied Mathematics 0502 economics and business 05 social sciences Econometrics Economics 0101 mathematics Volatility (finance) 01 natural sciences Finance
Zdroj:	SIAM Journal on Financial Mathematics. 10:309-349
ISSN:	1945-497X
DOI:	10.1137/18m1170236
Popis:	Rough volatility models are very appealing because of their remarkable fit of both historical and implied volatilities. However, due to the non-Markovian and nonsemimartingale nature of the volatil...
Databáze:	OpenAIRE
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