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"Pricing Options under Rough Volatility with Backward SPDEs."
Christian Bayer, Jinniao Qiu, Yao Yao (2022)
- Christian Bayer, Jinniao Qiu, Yao Yao:
Pricing Options under Rough Volatility with Backward SPDEs. SIAM J. Financial Math. 13(1): 179-212 (2022)
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