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"Multifactor Approximation of Rough Volatility Models."

Eduardo Abi Jaber, Omar El Euch (2019)

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DOI: 10.1137/18M1170236

access: closed

type: Journal Article

metadata version: 2019-07-24

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  - https://dblp.org/rec/journals/siamfm/JaberE19
Eduardo Abi Jaber, Omar El Euch:
Multifactor Approximation of Rough Volatility Models. SIAM J. Financial Math. 10(2): 309-349 (2019)

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