Ofelia Bonesini

University of Padua

35131 Padua

Italy

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Scholarly Papers (1)

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Functional quantization of rough volatility and applications to the VIX

Number of pages: 35 Posted: 09 Apr 2021
University of Padua, University of Padua and Imperial College London
Downloads 21 (614,675)

Abstract:

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Riemann-Liouville process, Volterra process, functional quantization, series expansion, rough volatility, VIX options