16 citations to https://www.mathnet.ru/rus/rm9424
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Jaber E.A., El Euch O., “Multifactor Approximation of Rough Volatility Models”, SIAM J. Financ. Math., 10:2 (2019), 309–349
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Fractional Brownian Motion, 2019, 257
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Kordzakhia N.E., Kutoyants Yu.A., Novikov A.A., Hin L.-Y., “On Limit Distributions of Estimators in Irregular Statistical Models and a New Representation of Fractional Brownian Motion”, Stat. Probab. Lett., 139 (2018), 141–151
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Garnier J., Solna K., “Option Pricing Under Fast-Varying and Rough Stochastic Volatility”, Ann. Financ., 14:4 (2018), 489–516
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Fukasawa M., “Short-time at-the-money skew and rough fractional volatility”, Quant. Financ., 17:2 (2017), 189–198
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Garnier J., Solna K., “Correction to Black-Scholes Formula Due to Fractional Stochastic Volatility”, SIAM J. Financ. Math., 8:1 (2017), 560–588