"High-order methods for the option pricing under multivariate rough ..."

Zhengguang Shi, Pin Lyu, Jingtang Ma (2023)

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DOI: 10.1016/J.CAMWA.2022.05.039

access: closed

type: Journal Article

metadata version: 2023-11-12

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Zhengguang Shi, Pin Lyu, Jingtang Ma:
High-order methods for the option pricing under multivariate rough volatility models. Comput. Math. Appl. 139: 173-183 (2023)

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