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Weak Error Rates for Option Pricing under the Rough Bergomi Model
Hall, E. J.
Science and Engineering Office
Talk or presentation types
Minisymposium "UQ for Rough Volatility and Predictive Models in Finance" at SIAM FME21, USA.
4 Jun 2021
SIAM Conference on Financial Mathematics and Engineering
Philadelphia, United States, Pennsylvania
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Degree of Recognition