SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
16 references·1 citing·38 second hop
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (2020)Hierarchical adaptive sparse grids and qu…The characteristic function of rough Heston models (2019)The characteristic function o…Volatility Is Rough (2018)Volatility Is RoughPerfect hedging in rough Heston models (2018)Perfect hedging in rough Hest…Hybrid scheme for Brownian semistationary processes (2017)Hybrid scheme for Brownian se…Asymptotics for Rough Stochastic Volatility Models (2017)Asymptotics for Rough Stochas…Decoupling the Short- and Long-Term Behavior of Stochastic Volatility (2016)Decoupling the Short- and Lon…Pricing under rough volatility (2015)Pricing under rough volatilityJumps in High-Frequency Data: Spurious Detections, Dynamics, and News (2015)Jumps in High-Frequency Data:…Fact or friction: Jumps at ultra high frequency (2014)Fact or friction: Jumps at ul…Asymptotic analysis for stochastic volatility: martingale expansion (2010)Asymptotic analysis for stoch…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)On the short-time behavior of…Alternative forms of fractional Brownian motion (1999)Alternative forms of fraction…A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)A Comparison of Some Monte Ca…Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Contingent Claims and Market …Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Rough Heston: The SINC way (2020)Rough Heston: The SINC wayWeak convergence to fractional brownian motion and to the rosenblatt process (1975)Multiple Time Series Regression with Integrated Processes (1986)Semiparametric fractional cointegration analysis (2001)Nonstationarity-extended local Whittle estimation (2007)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Limit Theorems for Stochastic Processes (2003)The characteristic function of rough Heston models (2018)Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Time Dependent Heston Model (2010)The Pricing of Options and Corporate Liabilities (1973)A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)Maximum likelihood estimation of stochastic volatility models (2006)Brownian Motion and Stochastic Calculus (2007)Modeling and Forecasting Realized Volatility (2003)The variation of certain speculative prices (1997)Continuous Martingales and Brownian Motion (1999)A regularity structure for rough volatility (2019)Lifting the Heston model (2019)Multifactor Approximation of Rough Volatility Models (2019)The Volatility Surface: A Practitioner's Guide (2006)Realized Volatility: A Review (2008)The Behavior of Stock-Market Prices (1965)Option pricing when underlying stock returns are discontinuous (1976)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)A Machine Learning Approach to Volatility Forecasting (2022)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,727 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,087 cited
  • 2018Volatility Is Rough869 cited
  • 2015Pricing under rough volatility461 cited
  • 2019The characteristic function of rough Heston models305 cited
  • 1999Alternative forms of fractional Brownian motion289 cited
  • 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility239 cited
  • 1997Contingent Claims and Market Completeness in a Stochastic Volatility Model225 cited
  • 2014Fact or friction: Jumps at ultra high frequency208 cited
  • 2010Asymptotic analysis for stochastic volatility: martingale expansion160 cited
  • 1998A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing154 cited
  • 2015Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News153 cited
  • 2018Perfect hedging in rough Heston models138 cited
  • 2017Hybrid scheme for Brownian semistationary processes128 cited
  • 2017Asymptotics for Rough Stochastic Volatility Models95 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2016
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
87 cited

Cited by

  • 2020Rough Heston: The SINC way16 cited