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Markovian approximation of the rough Bergomi model for Mont..:
Zhu, Qinwen
;
Loeper, Gregoire
;
Chen, Wen
.
info:eu-repo/semantics/altIdentifier/arxiv/2007.02113. , 2020
Link:
https://hal.archives-ouvertes.fr/hal-02910724
RT Journal T1
Markovian approximation of the rough Bergomi model for Monte Carlo option pricing
UL https://suche.suub.uni-bremen.de/peid=base-ftccsdartic:oai:HAL:hal-02910724v1&Exemplar=1&LAN=DE A1 Zhu, Qinwen A1 Loeper, Gregoire A1 Chen, Wen A1 Langrené, Nicolas PB HAL CCSD YR 2020 K1 rough fractional stochastic volatility K1 forward variance model K1 Markovian representation K1 volatility skew K1 Volterra integral K1 rough Heston K1 hybrid scheme simulation K1 JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C63 - Computational Techniques • Simulation Modeling K1 JEL: C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C15 - Statistical Simulation Methods: General K1 JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C52 - Model Evaluation K1 Validation K1 and Selection K1 JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing K1 JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates K1 JEL: C - Mathematical and Quantitative Methods/C.C0 - General/C.C0.C02 - Mathematical Methods K1 [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] K1 [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] JF info:eu-repo/semantics/altIdentifier/arxiv/2007.02113 LK http://dx.doi.org/https://hal.archives-ouvertes.fr/hal-02910724 DO https://hal.archives-ouvertes.fr/hal-02910724 SF ELIB - SuUB Bremen
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