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Estimating the roughness exponent of stochastic volatility from discrete
  observations of the realized variance
v1v2 (latest)

Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance

5 July 2023
Xiyue Han
A. Schied
ArXiv (abs)PDFHTML

Papers citing "Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance"

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