Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
Crossref DOI link: https://doi.org/10.1007/s00780-019-00384-5
Published Online: 2019-03-01
Published Print: 2019-04
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Alòs, Elisa
Shiraya, Kenichiro
Text and Data Mining valid from 2019-03-01
Article History
Received: 30 March 2017
Accepted: 25 December 2018
First Online: 1 March 2019