Hybrid scheme for Brownian semistationary processes

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Original languageEnglish
JournalFinance and Stochastics
Issue number4
Pages (from-to)931-965
Number of pages35
StatePublished - Oct 2017

    Research areas

  • Stochastic simulation, Discretization, Brownian semistationary process, Stochastic volatility, Regular variation, Estimation, Option pricing, Rough volatility, Volatility smile, SPOT PRICES, VOLATILITY, TURBULENCE, MODELS

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