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q-fin.MF2020★ 11 cited
Markovian approximation of the rough Bergomi model for Monte Carlo option pricing
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…
q-fin.MF2020
Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework
Kaustav Das, Nicolas Langrené
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based…