A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205)
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scientific article; zbMATH DE number 7282755
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison principle between rough and non-rough Heston models—with applications to the volatility surface |
scientific article; zbMATH DE number 7282755 |
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A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (English)
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7 December 2020
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stochastic volatility
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Heston model
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rough volatility
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volatility surface
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comparison principle
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moment explosion
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Volterra integral equation
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