Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation

DOI10.1137/19M1269324zbMath1455.91260OpenAlexW3012548031MaRDI QIDQ5144185

Maryam Vahid Dastgerdi, Ali Foroush Bastani

Publication date: 15 January 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1269324

zbMATH Keywords

spectral collocationrough Heston modelfractional nonlinear Riccati differential equationNewton-Kantorovich quasi-linearization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear ordinary differential equations and systems (34A34) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional ordinary differential equations (34A08)

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