登入選單

返回Google圖書搜尋

Short-time Near-the-money Skew in Rough Fractional Volatility Models

Christian BayerPeter K. FrizArchil GulisashviliBlanka Nora HorvathBenjamin Stemper

出版	Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V., 2017
URL	http://books.google.com.hk/books?id=I8P_zgEACAAJ&hl=&source=gbs_api

註釋

We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough” regime of Hurst parameter H