A comparison principle between rough and non-rough Heston models—with applications to the volatility surface
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Publication:5139205
DOI10.1080/14697688.2020.1714702zbMath1454.91317arXiv1906.03119OpenAlexW3008893767MaRDI QIDQ5139205
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Publication date: 7 December 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.03119
comparison principlestochastic volatilityVolterra integral equationHeston modelvolatility surfacemoment explosionrough volatility
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Cites Work
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