Volatility Options in Rough Volatility Models.

Blanka Horvath Antoine Jacquier Peter Tankov

Published in: SIAM J. Financial Math. (2020)

Keyphrases

garch model
stock market
statistical models
stock price
stock trading
information systems
exchange rate
stock index futures
complex systems
probabilistic model
learning algorithm
machine learning algorithms
classification models
rough sets
financial markets
search engine
neural network