On the martingale property in the rough Bergomi model

View/ Open
Date
2019Dewey
Probabilités et mathématiques appliquéesSujet
rough volatility; martingale propertyJournal issue
Electronic Communications in ProbabilityVolume
24Publication date
06-2019Article pages
9Publisher
Institute of Mathematical StatisticsCollections
Metadata
Show full item recordAuthor
Gassiat, Paul
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]