Record link: 
http://hdl.handle.net/20.500.12708/191540
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Title: 
Asymptotic pricing of VIX options under rough volatility
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Citation: 
Gerhold, S. (2023, March 7). Asymptotic pricing of VIX options under rough volatility [Conference Presentation]. 16th German Probability and Statistics Days 2023, Essen, Germany.
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Publication Type: 
Presentation - Conference Presentation
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Language: 
English
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Authors: 
Gerhold, Stefan 
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Organisational Unit: 
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik 
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Date (published): 
7-Mar-2023
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Event name: 
16th German Probability and Statistics Days 2023 
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Event date: 
7-Mar-2023 - 10-Mar-2023
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Event place: 
Essen, Germany
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Keywords: 
rough volatility; option pricing; asymptotics
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Research Areas: 
Mathematical Methods in Economics: 20%
Mathematical and Algorithmic Foundations: 80%
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Science Branch: 
5020 - Wirtschaftswissenschaften: 20%
1010 - Mathematik: 80%
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