A nonparametric test for rough volatility
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- Boris Ter-Avanesov & Gunter A. Meissner, 2024. "Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates," Papers 2411.16617, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2024-09-02 (Econometrics)
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