11 citations · 12 across the 3 of their papers we have counts for
1 paper · 1 filter
Qinwen Zhu, Grégoire Loeper, Wen Chen +1
The recently developed rough Bergomi (rBergomi) model is a rough fractional stochastic volatility (RFSV) model which can generate more realistic term structure of at-the-money vola…