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Quantitative Finance Volume 23, 2023 - Issue 12

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Research Papers

Functional quantization of rough volatility and applications to volatility derivatives

O. Bonesini† Dipartimento di Matematica, “T. Levi-Civita”, Via Trieste. 63, Padova35121, ItalyView further author information

G. Callegaro† Dipartimento di Matematica, “T. Levi-Civita”, Via Trieste. 63, Padova35121, Italy

https://orcid.org/0000-0001-9026-5261 View further author information

A. Jacquier‡ Department of Mathematics, Imperial College London, LondonSW7 1NE, UKCorrespondence[email protected]
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Pages 1769-1792 | Received 23 Jul 2021, Accepted 12 Oct 2023, Published online: 03 Dec 2023

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https://doi.org/10.1080/14697688.2023.2273414
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