Option pricing under fast-varying and rough stochastic volatility - Département de mathématiques appliquées
Journal Articles Annals of Finance Year : 2018

Option pricing under fast-varying and rough stochastic volatility

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hal-02402705 , version 1 (03-09-2024)

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Josselin Garnier, Knut Solna. Option pricing under fast-varying and rough stochastic volatility. Annals of Finance, 2018, 14 (4), pp.489-516. ⟨10.1007/s10436-018-0325-4⟩. ⟨hal-02402705⟩
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