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RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION - MaRDI portal

RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001)

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scientific article; zbMATH DE number 7057294
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RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
scientific article; zbMATH DE number 7057294

    Statements

    title
    RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (English)
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    author
    Jim Gatheral
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    Radoš Radoičić
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    publication date
    21 May 2019
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    Mathematics Subject Classification ID
    91G20
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    26A33
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    91B70
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    zbMATH DE Number
    7057294
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    zbMATH Keywords
    rough Heston model
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    Padé approximant
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    rational approximation
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    volatility smile
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    leverage swap
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    cites work
    Q4856607
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    Q2832433
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    Q4942767
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    Q4250595
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    OpenAlex ID
    W3124440906
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    Wikidata QID
    Q128435576
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