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Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs

dc.date.accessioned2023-03-10T17:49:57Z
dc.date.created2022-11-29T18:21:55Z
dc.date.issued2022
dc.identifier.citationCoffie, Emmanuel Duedahl, Sindre Proske, Frank Norbert . Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs. Stochastic Processes and their Applications. 2022, 156, 156-195
dc.identifier.urihttp://hdl.handle.net/10852/101225
dc.languageEN
dc.publisherNorth Holland Publishing Company
dc.titleSensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs
dc.title.alternativeENEngelskEnglishSensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs
dc.typeJournal article
dc.creator.authorCoffie, Emmanuel
dc.creator.authorDuedahl, Sindre
dc.creator.authorProske, Frank Norbert
dc.date.embargoenddate2024-11-09
cristin.unitcode185,15,13,35
cristin.unitnameRisiko og stokastikk (SEKSJON 3)
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode2
dc.identifier.cristin2084646
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic Processes and their Applications&rft.volume=156&rft.spage=156&rft.date=2022
dc.identifier.jtitleStochastic Processes and their Applications
dc.identifier.volume156
dc.identifier.startpage156
dc.identifier.endpage195
dc.identifier.doihttps://doi.org/10.1016/j.spa.2022.11.001
dc.type.documentTidsskriftartikkel
dc.type.peerreviewedPeer reviewed
dc.source.issn0304-4149
dc.type.versionAcceptedVersion
dc.relation.projectNFR/274410


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