Markovian approximation of the rough Bergomi model for Monte Carlo option pricing
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DOI: 10.3390/math9050528
Note: View the original document on HAL open archive server: https://hal.science/hal-02910724v2
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References listed on IDEAS
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- Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Working Papers hal-03902513, HAL.
- Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Papers 2212.08297, arXiv.org, revised Dec 2024.
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More about this item
Keywords
Volterra integral; volatility skew; Markovian representation; forward variance model; rough fractional stochastic volatility; rough Heston; hybrid scheme; sum of Ornstein-Uhlenbeck processes;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DEM-2022-07-18 (Demographic Economics)
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