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Correct implied volatility shapes and reliable pricing in the rough Heston model

Fuente: arXiv

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Détails bibliographiques
Auteurs principaux:	Boyarchenko, Svetlana, Levendorskiǐ, Sergei
Format:	Preprint
Publié:	2024
Sujets:	Mathematical Finance Computational Finance 60-08, 60E10, 60G10, 60G22, 65C20, 65D30, 65G20, 91G20, 91G60
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

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