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"How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model ..."

Luu H. Duc, Jürgen Jost (2023)

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DOI: 10.1137/20M1358670

access: closed

type: Journal Article

metadata version: 2023-08-31

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Luu H. Duc, Jürgen Jost:
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost. SIAM J. Financial Math. 14(3): 879-909 (2023)

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