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

Josselin Garnier
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  • PersonId : 1028753
Centre de Mathématiques Appliquées de l'Ecole polytechnique
Knut Solna
  • Function : Author
Department of Mathematics [Irvine]

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Probability [math.PR] Analysis of PDEs [math.AP] Statistics [math.ST]
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https://hal.science/hal-02402705

Submitted on : Tuesday, September 3, 2024-9:33:52 PM

Last modification on : Friday, September 6, 2024-11:27:02 AM

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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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