Perfect hedging in rough Heston models

Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However, managing the risks of derivatives under rough volatility can be intricate since the dynamics involve fra...

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Veröffentlicht in:	arXiv.org 2017-03
Hauptverfasser:	Omar El Euch, Rosenbaum, Mathieu
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Markov chains Replication Volatility
Online-Zugang:	Volltext
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