Rough volatility via the Lamperti transform
Authors:
- Sergio BianchiSBSergio Bianchi
- Daniele AngeliniDADaniele Angelini
- Augusto PianeseAPAugusto Pianese
- Massimiliano FrezzaMFMassimiliano Frezza
Open Access
- 30 September 2023
- journal article
- research article
- Published by Elsevier in Communications in Nonlinear Science and Numerical Simulation
- Vol. 127
Abstract
No abstract availableKeywords
Funding Information
- Sapienza Università di Roma (RM120172B346C021)
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