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

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