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Hybrid scheme for Brownian semistationary processes
5 references·16 citing·34 second hop
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References

  • 2007Stochastic Simulation1,121 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
  • 2015Pricing under rough volatility461 cited
  • 2004Stochastic Models That Separate Fractal Dimension and the Hurst Effect444 cited
  • 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility239 cited

Cited by

  • 2016Decoupling the Short- and Long-Term Behavior of Stochastic Volatility87 cited
  • 2022Estimating Spot Volatility with High-Frequency Financial Data86 cited
  • 2019Lifting the Heston model86 cited
  • 2018Short-time near-the-money skew in rough fractional volatility models68 cited
  • 2018Turbocharging Monte Carlo pricing for the rough Bergomi model68 cited
  • 2017On VIX futures in the rough Bergomi model64 cited
  • 2022Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets56 cited
  • 2019Deep Learning Volatility52 cited
  • 2018Volatility Options in Rough Volatility Models49 cited
  • 2024Functional central limit theorems for rough volatility46 cited

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  • 2018Affine representations of fractional processes with applications in mathematical finance45 cited
  • 2018Pathwise large deviations for the rough Bergomi model45 cited
  • 2022A GMM approach to estimate the roughness of stochastic volatility42 cited
  • 2025On Deep Calibration of (rough) Stochastic Volatility Models34 cited
  • 2023Deep Curve-Dependent PDEs for Affine Rough Volatility33 cited
  • 2018Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint29 cited