Weak error rates for option pricing under linear rough volatility

Christian Bayer, Eric Joseph Hall, Raúl Tempone

Research output: Working paper/Preprint › Preprint

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  • 2023

    Weak error rates for option pricing under linear rough volatility

    Bayer, C., Hall, E. J. (Lead / Corresponding author) & 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

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    4 Citations (Scopus)
    55 Downloads (Pure)