GitHub - wojtasWR/Volatility-is-rough: The content of this repository is mainly about the "Volatility is rough" paper written by Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum.

wojtasWR / Volatility-is-rough Public

The content of this repository is mainly about the "Volatility is rough" paper written by Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum.

Name		Name	Last commit message	Last commit date
Latest commit History 4 Commits
ImpliedVolatility.ipynb		ImpliedVolatility.ipynb
LocalVolatility.ipynb		LocalVolatility.ipynb
New_option_prices_1.csv		New_option_prices_1.csv
New_option_prices_2.csv		New_option_prices_2.csv
VolatilitySurface.pdf		VolatilitySurface.pdf

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