On the Discrete-Time Simulation of the Rough Heston Model (Q5886364)
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scientific article; zbMATH DE number 7671153
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Discrete-Time Simulation of the Rough Heston Model |
scientific article; zbMATH DE number 7671153 |
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On the Discrete-Time Simulation of the Rough Heston Model (English)
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31 March 2023
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rough Heston model
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stochastic Volterra equations
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Euler scheme
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Monte Carlo method
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