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Media type:
E-Article
Title:
Reconstructing volatility: Pricing of index options under rough volatility
Contributor:
Friz, Peter K.
[Author];
Wagenhofer, Thomas
[Author]
imprint:
Hoboken, NJ: Wiley, 2023
Language:
English
DOI:
https://doi.org/10.1111/mafi.12374
ISSN:
1467-9965
Origination:
Footnote:
Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
Description:
Avellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the index. We present an extension applicable to non‐Markovian dynamics and in particular the case of rough volatility dynamics.