Rough volatility, path-dependent PDEs and weak rates of convergence

Fuente: arXiv

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Bibliographic Details
Main Authors:	Bonesini, Ofelia, Jacquier, Antoine, Pannier, Alexandre
Format:	Preprint
Published:	2023
Subjects:	Probability Mathematical Finance 60G22, 35K10, 65C20, 91G20, 91G60
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2304.03042