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"Log-Modulated Rough Stochastic Volatility Models."

Christian Bayer, Fabian A. Harang, Paolo Pigato (2021)

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DOI: 10.1137/20M135902X

access: closed

type: Journal Article

metadata version: 2022-10-02

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Christian Bayer, Fabian A. Harang, Paolo Pigato:
Log-Modulated Rough Stochastic Volatility Models. SIAM J. Financial Math. 12(3): 1257-1284 (2021)

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