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"Weak error rates for option pricing under the rough Bergomi model."

Christian Bayer, Eric Joseph Hall, Raúl Tempone (2020)

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DOI: —

access: open

type: Informal or Other Publication

metadata version: 2021-01-23

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  - electronic edition @ arxiv.org (open access)
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  dblp key:
  - journals/corr/abs-2009-01219
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  persistent URL:
  - https://dblp.org/rec/journals/corr/abs-2009-01219
Christian Bayer, Eric Joseph Hall, Raúl Tempone:
Weak error rates for option pricing under the rough Bergomi model. CoRR abs/2009.01219 (2020)

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