"Pricing Options under Rough Volatility with Backward SPDEs."

Christian Bayer, Jinniao Qiu, Yao Yao (2022)

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DOI: 10.1137/20M1357639

access: closed

type: Journal Article

metadata version: 2022-07-25

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Christian Bayer, Jinniao Qiu, Yao Yao:
Pricing Options under Rough Volatility with Backward SPDEs. SIAM J. Financial Math. 13(1): 179-212 (2022)

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