Asymptotics for volatility derivatives in multi-factor rough volatility models
Crossref DOI link: https://doi.org/10.1007/s11579-020-00288-5
Published Online: 2021-01-09
Published Print: 2021-06
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Lacombe, Chloe
Muguruza, Aitor http://orcid.org/0000-0002-1289-7076
Stone, Henry
Funding for this research was provided by:
Imperial College London
Text and Data Mining valid from 2021-01-09
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Article History
Received: 26 September 2019
Accepted: 6 December 2020
First Online: 9 January 2021