Rough volatility via the Lamperti transform

Sergio Bianchi, Daniele Angelini, Augusto Pianese, Massimiliano Frezza. Rough volatility via the Lamperti transform. Commun. Nonlinear Sci. Numer. Simul., 127:107582, December 2023. [doi]

Authors

Sergio Bianchi

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Daniele Angelini

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Augusto Pianese

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Massimiliano Frezza

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