Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801)
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scientific article; zbMATH DE number 7814783
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rough Heston Models with Variable Vol-of-Vol and Option Pricing |
scientific article; zbMATH DE number 7814783 |
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Rough Heston Models with Variable Vol-of-Vol and Option Pricing (English)
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11 March 2024
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rough Heston model
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option pricing
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Hawkes process
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fractional differential equations
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Fourier-cosine methods
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