"Volatility Options in Rough Volatility Models."

Blanka Horvath, Antoine Jacquier, Peter Tankov (2020)

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DOI: 10.1137/18M1169242

access: closed

type: Journal Article

metadata version: 2022-04-09

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Blanka Horvath, Antoine Jacquier, Peter Tankov:
Volatility Options in Rough Volatility Models. SIAM J. Financial Math. 11(2): 437-469 (2020)

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