32 citations · 67 across the 24 of their papers we have counts for
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q-fin.MF2025★ 1 cited
Martingale property and moment explosions in signature volatility models
Eduardo Abi Jaber, Paul Gassiat, Dimitri Sotnikov
We study the martingale property and moment explosions of a signature volatility model, where the volatility process of the log-price is given by a linear form of the signature of…
q-fin.MF2018★ 2 cited
On the martingale property in the rough Bergomi model
Paul Gassiat
We consider a class of fractional stochastic volatility models (including the so-called rough Bergomi model), where the volatility is a superlinear function of a fractional Gaussia…