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Short-time expansion of characteristic functions in a rough volatility
  setting with applications

Short-time expansion of characteristic functions in a rough volatility setting with applications

1 August 2022
Carsten H. Chong
Viktor Todorov
ArXiv (abs)PDFHTML

Papers citing "Short-time expansion of characteristic functions in a rough volatility setting with applications"

1 / 1 papers shown
Title
Statistical inference for rough volatility: Central limit theorems
Statistical inference for rough volatility: Central limit theorems
Carsten H. Chong
M. Hoffmann
Yanghui Liu
M. Rosenbaum
Grégoire Szymanski
74
18
0
03 Oct 2022
1