Rough path theory provides a rigorous framework to analyse differential equations driven by highly irregular signals, such as those encountered in stochastic differential equations (SDEs). By ...
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
In this paper, we consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options. The method builds on ...
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