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Pricing Options Under Rough Volatility with Backward SPDEs

Publication: Pricing Options Under Rough Volatility with Backward SPDEs. Published Aug 3, 2020.

Research & Papers
arxiv.orgPublished Aug 3, 2020
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Overview

Publication: Pricing Options Under Rough Volatility with Backward SPDEs. Published Aug 3, 2020.

Publication information

Publication title
Pricing Options Under Rough Volatility with Backward SPDEs
Authors
Christian Bayer, Jinniao Qiu, Yao Yao
Published
Aug 3, 2020
Last publication revision
Aug 3, 2020
Subject areas
q-fin.MF
Publication source
arxiv.org · abs/2008.01241v1 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2008.01241 ↗

Discovery references

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Screenshot unavailableResource information and source links remain available. DeepIntoStreams/TSFM_Finance — reviewed source website screenshot
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DeepIntoStreams/TSFM_Finance

github.com

the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”.

GitHub stars
31
Language
Jupyter Notebook
Code license
Apache-2.0
foundation-modeltime-seriesresearch-lab
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