Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287891 
Year of Publication: 
2023
Citation: 
[Journal:] Mathematical Finance [ISSN:] 1467-9965 [Volume:] 33 [Issue:] 1 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2023 [Pages:] 19-40
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
Avellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the index. We present an extension applicable to non‐Markovian dynamics and in particular the case of rough volatility dynamics.
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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