"Estimating the Hurst parameter from short term volatility swaps: a ..."

Elisa Alòs, Kenichiro Shiraya (2019)

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DOI: 10.1007/S00780-019-00384-5

access: closed

type: Journal Article

metadata version: 2020-07-22

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Elisa Alòs, Kenichiro Shiraya:
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Finance Stochastics 23(2): 423-447 (2019)

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