bayer.qiu.ea:22:pricing¶
BibTeX Entry:
@article{bayer.qiu.ea:22:pricing,
author = {Bayer, Christian and Qiu, Jinniao and Yao, Yao},
doi = {10.1137/20M1357639},
fjournal = {SIAM Journal on Financial Mathematics},
issn = {1945-497X},
journal = {SIAM J. Financial Math.},
mrclass = {91G20 (60H15 60H35 91G60 91G80)},
mrnumber = {4386480},
mrreviewer = {Christian\ Bender},
number = {1},
pages = {179--212},
title = {Pricing options under rough volatility with backward
{SPDE}s},
url = {https://doi.org/10.1137/20M1357639},
volume = {13},
year = {2022}
}