56 citations · 57 across the 4 of their papers we have counts for
1 paper · 1 filter
Ryan McCrickerd, Mikko S. Pakkanen
The rough Bergomi model, introduced by Bayer, Friz and Gatheral [Quant. Finance 16(6), 887-904, 2016], is one of the recent rough volatility models that are consistent with the sty…