Pages that link to "Item:Q5377001"
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The following pages link to RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001):
Displaying 23 items.
- Perfect hedging in rough Heston models (Q1634189) (← links)
- Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
- Forests, cumulants, martingales (Q2139104) (← links)
- A robust spectral method for solving Heston's model (Q2247922) (← links)
- The Heston Riemannian distance function (Q2436820) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674) (← links)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- Stationary Heston model: calibration and pricing of exotics using product recursive quantization (Q5079352) (← links)
- Lifting the Heston model (Q5120731) (← links)
- The Zumbach effect under rough Heston (Q5121491) (← links)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- Exponentiation of conditional expectations under stochastic volatility (Q5215433) (← links)
- The characteristic function of rough Heston models (Q5743116) (← links)
- On the Discrete-Time Simulation of the Rough Heston Model (Q5886364) (← links)
- Deep Curve-Dependent PDEs for Affine Rough Volatility (Q6159075) (← links)
- High-order methods for the option pricing under multivariate rough volatility models (Q6161539) (← links)
- Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
- A generalization of the rational rough Heston approximation (Q6546320) (← links)
- Implied roughness in the term structure of oil market volatility (Q6576878) (← links)
- Short time behavior of the ATM implied skew in the ADO-Heston model (Q6581627) (← links)
- Deep calibration with random grids (Q6657700) (← links)
