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 › Preprint

55 Downloads (Pure)

1 Article

1 results

2023
Weak error rates for option pricing under linear rough volatility
Bayer, C., Hall, E. J. & Tempone, R., 19 Jan 2023, In: International Journal of Theoretical and Applied Finance. 25, 7-8, 2250029.
Research output: Contribution to journal › Article › peer-review