A generalization of the rational rough Heston approximation

被引：0

作者：

Gatheral, Jim ^{[1
]}

Radoicic, Rados ^{[1
]}

机构：

[1] CUNY, Baruch Coll, New York, NY 10010 USA

来源：

QUANTITATIVE FINANCE | 2024年 / 24卷 / 02期

关键词：

Rough Heston model; Pade approximant; Rational approximation; Volatility smile; Mittag-Leffler;

D O I：

10.1080/14697688.2024.2302055

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Previously, in Gatheral and Radoi & ccaron;ic (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case lambda = 0, which corresponds to a pure power-law kernel. In this paper we extend this lambda >= 0. We provide numerical evidence of the convergence of the solution.

引用

页码：329 / 335

页数：7

共 50 条

[21] The valuation of barrier options under a threshold rough Heston model
Tong, Kevin Z.
Liu, Allen
JOURNAL OF MANAGEMENT SCIENCE AND ENGINEERING, 2023, 8 (01) : 15 - 31
[22] SPX Calibration of Option Approximations under Rough Heston Model
Jeng, Siow Woon
Kilicman, Adem
MATHEMATICS, 2021, 9 (21)
[23] Simulating from the Heston model: A gamma approximation scheme
Begin, Jean-Francois
Bedard, Mylene
Gaillardetz, Patrice
MONTE CARLO METHODS AND APPLICATIONS, 2015, 21 (03): : 205 - 231
[24] Weak approximation of Heston model by discrete random variables
Lenksas, A.
Mackevicius, V.
MATHEMATICS AND COMPUTERS IN SIMULATION, 2015, 113 : 1 - 15
[25] Finite Difference Approximation of Hedging Quantities in the Heston model
't Hout, Karel In
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS (ICNAAM 2012), VOLS A AND B, 2012, 1479 : 242 - 245
[26] RATIONAL APPROXIMATION
ERDOS, P
REDDY, AR
ADVANCES IN MATHEMATICS, 1976, 21 (01) : 78 - 109
[27] Rational approximation on A∞(Ω)
Falco, Javier
Nestoridis, Vassili
STUDIA MATHEMATICA, 2019, 248 (01) : 93 - 107
[28] Generalization Rough Set Theory
肖迪
张军峰
胡寿松
Journal of Donghua University(English Edition), 2008, 25 (06) : 654 - 658
[29] Generalization rough set theory
Xiao, Di
Zhang, Jun-Feng
Hu, Shou-Song
Journal of Donghua University (English Edition), 2008, 25 (06) : 654 - 658
[30] On some generalization of rough sets
Janicki, Ryszard
INTERNATIONAL JOURNAL OF APPROXIMATE REASONING, 2023, 163

← 1 2 3 4 5 →