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Weak error rates for option pricing under linear rough volatility
Christian Bayer,
Eric Joseph Hall
, Raúl Tempone
Science and Engineering Office
Research output
:
Working paper/Preprint
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Preprint
103
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Dive into the research topics of 'Weak error rates for option pricing under linear rough volatility'. Together they form a unique fingerprint.
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Keyphrases
Error Rate
100%
Option Pricing
100%
Weak Error
100%
Fractional Brownian Motion
100%
Rough Volatility Models
100%
Rough Bergomi Model
75%
Volatility
50%
Asset Prices
50%
Underlying Asset
50%
Quantitative Finance
50%
Nonlinear Function
25%
Numerical Experiments
25%
Numerical Analysis
25%
Convergence Results
25%
Data-centric
25%
Data Market
25%
Brownian Motion
25%
Pricing Options
25%
Similarity Model
25%
Bayes
25%
H1.2
25%
Linear Function
25%
Affine
25%
Price Data
25%
Explicit Euler Method
25%
Stochastic Volatility Model
25%
Weak Convergence
25%
Volatility Structure
25%
Euler Method
25%
Non-Markovian
25%
Weak Rates
25%
Finance Modeling
25%
Quadratic Payoff Function
25%
Stein-Stein Model
25%
Strong Convergence Rate
25%
Rough Stochastic Volatility
25%
Parsimoniousness
25%
Option Price
25%
Hurst Parameter
25%
Markovian Representation
25%
Realized Variance
25%
Computational Practices
25%
Mathematics
Fractional Brownian Motion
100%
Error Rate
100%
Option Pricing
100%
Euler Method
50%
Asset Price
50%
Underlying Asset
50%
Mathematical Finance
50%
Numerical Experiment
25%
Numerical Analysis
25%
Convergence Result
25%
Variance
25%
Linear Function
25%
Nonlinear Function
25%
Brownian Motion
25%
Option Price
25%
Hurst Parameter
25%
Stochastic Volatility Model
25%
Payoff Function
25%
Weak Convergence
25%