Weak error rates for option pricing under linear rough volatility

Christian Bayer, Eric Joseph Hall, Raúl Tempone

Research output: Working paper/PreprintPreprint

55 Downloads (Pure)

Search 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 journalArticlepeer-review