Hybrid scheme for Brownian semistationary processes

Authors

Keywords

Stochastic simulation, Discretization, Brownian semistationary process, Stochastic volatility, Regular variation, Estimation, Option pricing, Rough volatility, Volatility smile, 60G12, 60G22, 65C20, 91G60, 62M09, C22, G13, C13

Journal

FINANCE AND STOCHASTICS

Volume 21, Issue 4, Pages 931-965

Publisher

Springer Nature

Online

2017-06-28

DOI

10.1007/s00780-017-0335-5

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