Reconstructing volatility: Pricing of index options under rough volatility

dc.contributor.authorFriz, Peter K.
dc.contributor.authorWagenhofer, Thomas
dc.date.accessioned2023-06-07T14:58:41Z
dc.date.available2023-06-07T14:58:41Z
dc.date.issued2023-01-13
dc.date.updated2023-04-19T16:30:39Z
dc.description.abstractAvellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the index. We present an extension applicable to non‐Markovian dynamics and in particular the case of rough volatility dynamics.en
dc.description.sponsorshipDFG, 390685689, EXC 2046: MATH+: Berlin Mathematics Research Center
dc.identifier.eissn1467-9965
dc.identifier.issn0960-1627
dc.identifier.urihttps://depositonce.tu-berlin.de/handle/11303/18826
dc.identifier.urihttps://doi.org/10.14279/depositonce-17631
dc.language.isoen
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject.ddc500 Naturwissenschaften und Mathematik::510 Mathematik::510 Mathematik
dc.subject.othervolatilityen
dc.subject.otherindex optionsen
dc.subject.otherpricingen
dc.subject.otherhedgingen
dc.subject.othercorrelationen
dc.titleReconstructing volatility: Pricing of index options under rough volatilityen
dc.typeArticle
dc.type.versionpublishedVersion
dcterms.bibliographicCitation.doi10.1111/mafi.12374
dcterms.bibliographicCitation.issue1
dcterms.bibliographicCitation.journaltitleMathematical Financeen
dcterms.bibliographicCitation.originalpublishernameWiley
dcterms.bibliographicCitation.originalpublisherplaceNew York, NY
dcterms.bibliographicCitation.pageend40
dcterms.bibliographicCitation.pagestart19
dcterms.bibliographicCitation.volume33
dcterms.rightsHolder.referenceCreative-Commons-Lizenz
tub.accessrights.dnbfree
tub.affiliationFak. 2 Mathematik und Naturwissenschaften::Inst. Mathematik::FG Finanz- und Versicherungsmathematik
tub.publisher.universityorinstitutionTechnische Universität Berlin

Files

Original bundle
Now showing 1 - 1 of 1
Loading…
Thumbnail Image
Name:
MAFI_MAFI12374.pdf
Size:
379.3 KB
Format:
Adobe Portable Document Format
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
4.86 KB
Format:
Item-specific license agreed upon to submission
Description:

Collections