Abstract
Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 10 August 2020Accepted: 19 May 2021Published online: 28 September 2021Keywordsrough volatility models, stochastic volatility, rough Bergomi model, implied skew, fractional Brownian motion, log Brownian motionAMS Subject Headings91G30, 60G22Publication DataISSN (online): 1945-497XPublisher: Society for Industrial and Applied MathematicsCODEN: sjfmbj
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