On the Analysis of Ait-Sahalia-Type Model for Rough Volatility Modelling

Emmanuel Coffie (), Xuerong Mao () and Frank Proske ()
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Emmanuel Coffie: University of Liverpool
Xuerong Mao: University of Strathclyde
Frank Proske: University of Oslo

Journal of Theoretical Probability, 2024, vol. 37, issue 1, 744-767

Abstract: Abstract Fractional Brownian motion with Hurst parameter $$H

Keywords: Rough volatility; Malliavin calculus; Fractional Brownian motion; Strong solution; Higher moments; 60H10; 60H30 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10959-023-01269-2

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