粗糙波动率的函数量化及其在波动率衍生品中的应用

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2023-12-03 DOI:10.1080/14697688.2023.2273414

O. Bonesini, G. Callegaro, A. Jacquier

引用次数: 0

摘要

提出了粗糙挥发性的产品函数量化方法。由于最优量化器可以离线计算，这种建立在Luschgy, H.和pag的富有洞察力的工作基础上的新技术……

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Functional quantization of rough volatility and applications to volatility derivatives

We develop a product functional quantization of rough volatility. Since the optimal quantizers can be computed offline, this new technique, built on the insightful works by [Luschgy, H. and Pagès, ...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.