Sergio Bianchi, Daniele Angelini, Augusto Pianese, Massimiliano Frezza. Rough volatility via the Lamperti transform. Commun. Nonlinear Sci. Numer. Simul., 127:107582, December 2023. [doi]
@article{BianchiAPF23,
title = {Rough volatility via the Lamperti transform},
author = {Sergio Bianchi and Daniele Angelini and Augusto Pianese and Massimiliano Frezza},
year = {2023},
month = {December},
doi = {10.1016/j.cnsns.2023.107582},
url = {https://doi.org/10.1016/j.cnsns.2023.107582},
researchr = {https://researchr.org/publication/BianchiAPF23},
cites = {0},
citedby = {0},
journal = {Commun. Nonlinear Sci. Numer. Simul.},
volume = {127},
pages = {107582},
}